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

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dc.citation.epage475en_US
dc.citation.spage454en_US
dc.citation.volumeNumber67en_US
dc.contributor.authorMensi, W.en_US
dc.contributor.authorHammoudeh, S.en_US
dc.contributor.authorAl-Jarrah, I. M. W.en_US
dc.contributor.authorSensoy A.en_US
dc.contributor.authorKang, S. H.en_US
dc.date.accessioned2018-04-12T11:12:16Z
dc.date.available2018-04-12T11:12:16Z
dc.date.issued2017en_US
dc.departmentFaculty of Business Administrationen_US
dc.description.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.en_US
dc.embargo.release2019-09-01en_US
dc.identifier.doi10.1016/j.eneco.2017.08.031en_US
dc.identifier.issn0140-9883
dc.identifier.urihttp://hdl.handle.net/11693/37396
dc.language.isoEnglishen_US
dc.publisherElsevier B.V.en_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.eneco.2017.08.031en_US
dc.source.titleEnergy Economicsen_US
dc.subjectCommodity marketsen_US
dc.subjectDownside risk reductionsen_US
dc.subjectIslamic equity marketsen_US
dc.subjectSpilloversen_US
dc.subjectSustainability and conventional equity indexesen_US
dc.subjectAggregatesen_US
dc.subjectCommerceen_US
dc.subjectCrude oilen_US
dc.subjectGolden_US
dc.subjectHealth risksen_US
dc.subjectRisk analysisen_US
dc.subjectRisk assessmenten_US
dc.subjectRisk managementen_US
dc.subjectSustainable developmenten_US
dc.subjectConsumer servicesen_US
dc.subjectDow Jones Global Indexesen_US
dc.subjectDownside risksen_US
dc.subjectEquity marketsen_US
dc.subjectManagement analysisen_US
dc.subjectPortfolio diversificationen_US
dc.subjectSpilloversen_US
dc.subjectTime-varying risksen_US
dc.subjectFinancial marketsen_US
dc.titleDynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implicationsen_US
dc.typeArticleen_US

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