دانلود مقاله ISI انگلیسی شماره 83360
کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
83360 2017 58 صفحه PDF سفارش دهید 15023 کلمه
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پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Energy Economics, Volume 67, September 2017, Pages 454-475

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پیش نمایش مقاله

چکیده انگلیسی

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.

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