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      Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications

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      Embargo Lift Date: 2019-09-01
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      Author
      Mensi, W.
      Hammoudeh, S.
      Al-Jarrah, I. M. W.
      Sensoy A.
      Kang, S. H.
      Date
      2017
      Source Title
      Energy Economics
      Print ISSN
      0140-9883
      Publisher
      Elsevier B.V.
      Volume
      67
      Pages
      454 - 475
      Language
      English
      Type
      Article
      Item Usage Stats
      131
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      243
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      Abstract
      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.
      Keywords
      Commodity markets
      Downside risk reductions
      Islamic equity markets
      Spillovers
      Sustainability and conventional equity indexes
      Aggregates
      Commerce
      Crude oil
      Gold
      Health risks
      Risk analysis
      Risk assessment
      Risk management
      Sustainable development
      Consumer services
      Dow Jones Global Indexes
      Downside risks
      Equity markets
      Management analysis
      Portfolio diversification
      Spillovers
      Time-varying risks
      Financial markets
      Permalink
      http://hdl.handle.net/11693/37396
      Published Version (Please cite this version)
      http://dx.doi.org/10.1016/j.eneco.2017.08.031
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