Risk Transmission from Oil and Natural Gas Futures to Emerging Market Mutual Funds

Bradley T. Ewing, Alper Gormus, Ugur Soytas

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

Abstract

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.

Original languageEnglish
Pages (from-to)1828-1837
Number of pages10
JournalEmerging Markets Finance and Trade
Volume54
Issue number8
DOIs
StatePublished - Jun 21 2018

Keywords

  • emerging market mutual funds
  • natural gas
  • oil
  • volatility spillover

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