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Risk Transmission from Oil and Natural Gas Futures to Emerging Market Mutual Funds
Date
2018-01-01
Author
Ewing, Bradley T.
Gormus, Alper
Soytaş, Uğur
Metadata
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Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License
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This study evaluates the impacts of energy markets on emerging market mutual funds (EMMFs). In particular, we investigate the volatility transmission between these funds and the oil and natural gas prices. The findings suggest significant risk spillover from the energy markets to EMMFs. Furthermore, we find a large number of EMMFs' risk transmitting to oil prices and almost all of the EMMFs' risk transmitting to natural gas prices. By dividing the sample into two (before and after 2008), we find the EMMFs' influence on the oil market decreasing after this turbulent period. Our results have important implications for mutual fund managers and investors.
Subject Keywords
Emerging Market Mutual Funds
,
Natural Gas
,
Oil
,
Volatility Spillover
URI
https://hdl.handle.net/11511/38225
Journal
EMERGING MARKETS FINANCE AND TRADE
DOI
https://doi.org/10.1080/1540496x.2017.1400965
Collections
Department of Business Administration, Article
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B. T. Ewing, A. Gormus, and U. Soytaş, “Risk Transmission from Oil and Natural Gas Futures to Emerging Market Mutual Funds,”
EMERGING MARKETS FINANCE AND TRADE
, pp. 1828–1837, 2018, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/38225.