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AuthorMensi, Walid
AuthorHammoudeh, Shawkat
AuthorAl-Jarrah, Idries Mohammad Wanas
AuthorSensoy, Ahmet
AuthorKang, Sang Hoon
Available date2020-12-02T07:03:51Z
Publication Date2017
Publication NameEnergy Economics
ResourceScopus
ISSN1409883
URIhttp://dx.doi.org/10.1016/j.eneco.2017.08.031
URIhttp://hdl.handle.net/10576/17150
AbstractThis 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.
SponsorThe 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 ).
Languageen
PublisherElsevier B.V.
SubjectCommodity markets
Downside risk reductions
Islamic equity markets
Spillovers
Sustainability and conventional equity indexes
TitleDynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications
TypeArticle
Pagination454-475
Volume Number67
dc.accessType Abstract Only


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