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Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications
Journal article   Open access   Peer reviewed

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

Walid Mensi, Shawkat Hammoudeh, Idries Mohammad Wanas Al-Jarrah, Ahmet Sensoy and Sang Hoon Kang
Energy economics, v 67, pp 454-475
Sep 2017
DOI: https://doi.org/10.1016/j.eneco.2017.08.031
Featured in Collection :   UN Sustainable Development Goals @ Drexel
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https://doi.org/10.1016/j.eneco.2017.08.031View
Published, Version of Record (VoR)Open Access (License Unspecified),  Open

Abstract

Commodity markets Downside risk reductions Islamic equity markets Spillovers Sustainability and conventional equity indexes
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. •This study examines the risk spillovers between gold, oil and the Dow Jones conventional, sustainability and Islamic sector stock indexes•The spillovers index of Diebold and Yilmaz (2012) and risk measures are used.•Oil, gold, energy, financial, technology and telecommunications are net receivers of risk spillovers.•The DJ sustainability index, DJIM index and the six Islamic stock sectors are net contributors of risk spillovers.•Gold offers better risk reductions and largest downside risk reductions than oil.

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162 citations in Web of Science
171 citations in Scopus

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#8 Decent Work and Economic Growth

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Collaboration types
Domestic collaboration
International collaboration
Web of Science research areas
Economics
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