The purpose of this paper is to examine the price level and volatility impacts of oil prices on energy mutual funds (EMFs). The authors also examine specific fund characteristics which might influence those interactions.
The authors test for volatility transmission between the oil prices and the funds in the sample. Later, the authors test to see which fund characteristics impact these volatility interactions.
The results show oil price movements lead majority of sample EMFs. The authors also find a volatility feedback relationship with most of the sample. Furthermore, the authors show the fund characteristics to be important indicators of these interactions. Morningstar rating, market capitalization and management tenure are found to be significant drivers of the relationships between EMFs and oil prices.
To the knowledge, there is not a study in literature which examines these relationships.
