Precious metals, cereal, oil and stock market linkages and portfolio risk management: Evidence from Saudi Arabia
By Walid Mensi, Shawkat Hammoudeh, Sang Hoon Kang. 2015
143 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/24d35337e3bb29675222c44ac516bb2c880b000b
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Sang Hoon Kang
- Walid Mensi
- K. Al-Yahyaee
- Ahmet Sensoy
- Seong‐Min Yoon
- Ron P. McIver
- Duc Khuong Nguyen
- Mohamed Arouri
In Finance
- Sang Hoon Kang
- Walid Mensi
- K. Al-Yahyaee
- Seong‐Min Yoon
- Ron P. McIver
- Ahmet Sensoy
- Duc Khuong Nguyen
- Mohamed Arouri
Citations in the corpus
- Energy, precious metals, and GCC stock markets: Is there any risk spillover? (2019, methodology): “Mensi et al. (2015) use the DCC-FIAPARCH modelling to explore the time-varying correlations between the Saudi stock market (Tadawul) and major commodities, such as gold, silver, oil, rice, wheat and corn. The authors find long memory characteristics and asymmetric structure in the conditional volati”
- Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications (2017, unknown): “Specifically, we follow Mensi et al. (2015a) to investigate the usefulness of these commodity markets in having better portfolio risk management of the conventional index, the sustainability index and the Islamic stock sectoralmarkets.”
- Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2017, background): “Other researchers have investigated the commodity cross-market linkages between the oil and goldmarkets (e.g., Soytas et al., 2009; Reboredo, 2013; Yaya et al., 2016) and oil–agricultural relationships (e.g. Du et al., 2011; Nazlioglu et al., 2013; Mensi et al., 2014, 2015).”
- Volatility spillovers and cross-hedging between gold, oil and equities: Evidence from the Gulf Cooperation Council countries (2017, unknown): “Most of these studies examine the dynamic correlations between oil and equities, while only a few studies consider additional commodities, such as Mensi et al. (2013, 2015).”