Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications
| Autor: | Walid Mensi, Idries Mohammad Wanas Al-Jarrah, Shawkat Hammoudeh, Sang Hoon Kang, Ahmet Sensoy |
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| Rok vydání: | 2017 |
| Předmět: |
Aggregates
Economics and Econometrics Risk analysis Financial economics Time-varying risks Downside risk Portfolio diversification Spillovers Management analysis Crude oil Spillover effect Sustainable development 0502 economics and business Downside risks Economics 050207 economics Risk management Stock (geology) Islamic equity markets Risk assessment Sustainability and conventional equity indexes 050208 finance Dow Jones Global Indexes business.industry Financial markets 05 social sciences Commerce Equity (finance) Stock market index Commodity markets Health risks General Energy Sustainability Portfolio Downside risk reductions Gold Consumer services business Equity markets |
| Zdroj: | Energy Economics |
| ISSN: | 0140-9883 |
| DOI: | 10.1016/j.eneco.2017.08.031 |
| Popis: | This paper investigates the time-varying equicorrelations and risk spillovers between crude oil, gold and the Dow Jones conventional, sustainability and Islamic stock index aggregates and 10 associated disaggregated Islamic sector stock indexes (basic materials, consumer services, consumer goods, energy, financials, health care, technology, industrials, telecommunications and utilities), using the multivariate DECO-FIAPARCH model and the spillover index of Diebold and Yilmaz (2012). We also conduct a risk management analysis at the sector level for commodity-Islamic stock sector index portfolios, using different risk exposure measures. For comparison purposes, we add the aggregate conventional Dow Jones global index and the Dow Jones sustainability world index. The results show evidence of time-varying risk spillovers between these markets. Moreover, there are increases in the correlations among the markets in the aftermath of the 2008-2009 GFC. Further, the oil, gold, energy, financial, technology and telecommunications sectors are net receivers of risk spillovers, while the sustainability and conventional aggregate DJIM indexes as well as the remaining Islamic stock sectors are net contributors of risk spillovers. Finally, we provide evidence that gold offers better portfolio diversification benefits and downside risk reductions than oil. 2017 Elsevier B.V. The last author (Sang Hoon Kang) acknowledges receiving a financial support from the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea ( NRF-2016S1A5A2A03926111 ). Scopus |
| Databáze: | OpenAIRE |
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