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The informational content of oil and natural gas prices in energy fund performance

Author

Listed:
  • Viet Do
  • Tram Vu

Abstract

This paper explores whether the informational content of oil and gas prices has an impact on energy mutual fund returns. We first re-visit the relationship between oil and gas prices and energy index returns; our findings confirm that better energy index performance is associated with oil and gas price increases. Using the Fama and MacBeth (1973) two-stage regressions, we find that the information contained in oil and gas prices also plays a significant role in explaining energy mutual fund returns, making these an alternative investment to direct energy stock investments.

Suggested Citation

  • Viet Do & Tram Vu, 2012. "The informational content of oil and natural gas prices in energy fund performance," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 35(6), pages 465-479.
    • Handle: RePEc:ids:ijgeni:v:35:y:2012:i:6:p:465-479
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