Purpose: 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. Design/methodology/approach: The authors test for volatility...

This study analyzes price and volatility transmissions between nineteen real estate investment trusts (REITs) markets and the oil market. The REITs data represents a variety of countries at different stages of their development and the expanded analytical approach includes accounting for...