Artikel
Returns and volatility of water investments
This study analyzes the stock returns and volatility of the global water industry in different (full, pre-GFC, GFC and post-GFC) periods. The study estimates ARMA (1, 1)-GARCH (1, 1) and EGARCH (1, 1) models on the World Water index (WOWAX), S-Network Global Water Index (S-Net), S&P Global Water Index (S&P), and MSCI ACWI Water Utilities Index (MSCI ACWI), the Asia, Europe, Latin America and US water markets, Pictet Global Water Fund (Pictet), and KBC Eco Water Fund (KBC Eco) for the period 2004-2014. In this study, the EGARCH (1, 1) model results suggest the existence of persistence of volatility from four water indices, four water markets and two water funds in different periods and asymmetric volatil- ity (leverage) for Asia and US, S-Net and Pictet in full, pre-GFC and GFC periods and for WOWAX in GFC and post-GFC periods. The WOWAX is not highly correlated with water markets and water funds, which suggests that it may provide a possible op- portunity for portfolio diversification in different periods.
- Language
-
Englisch
- Bibliographic citation
-
Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 6 ; Year: 2018 ; Issue: 1 ; Pages: 1-33 ; Abingdon: Taylor & Francis
- Classification
-
Wirtschaft
- Subject
-
water investments
water indices
water markets
volatility
- Event
-
Geistige Schöpfung
- (who)
-
Reza, Rajibur
Tularam, Gurudeo Anand
Li, Bin
- Event
-
Veröffentlichung
- (who)
-
Taylor & Francis
- (where)
-
Abingdon
- (when)
-
2018
- DOI
-
doi:10.1080/23322039.2018.1438724
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Reza, Rajibur
- Tularam, Gurudeo Anand
- Li, Bin
- Taylor & Francis
Time of origin
- 2018
Other Objects (12)
Exploration vs. acquisition of oil and gas reserves: Effect on stock returns
Realised volatility and industry momentum returns
Boundedness and long-time behavior in a parabolic-elliptic system arising from biological transport networks
How to obtain high returns with lower volatility in emerging markets?
Idiosyncratic volatility and stock returns: Indian evidence
Volatility behavior of asset returns based on robust volatility ratio: Empirical analysis on global stock indices
Does behavioural theory explain return-implied volatility relationship? Evidence from India
Day-of-the-week effect on the Tunisian stock market return and volatility
Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies
Rate of return on foreign investment income and employment labour protection: A panel analysis of thirty OECD countries
Research on geometric dimension measurement system of shaft parts based on machine vision
Application of machine vision technology in geometric dimension measurement of small parts
Exploration vs. acquisition of oil and gas reserves: Effect on stock returns
Realised volatility and industry momentum returns
Boundedness and long-time behavior in a parabolic-elliptic system arising from biological transport networks
How to obtain high returns with lower volatility in emerging markets?
Idiosyncratic volatility and stock returns: Indian evidence
Volatility behavior of asset returns based on robust volatility ratio: Empirical analysis on global stock indices
Does behavioural theory explain return-implied volatility relationship? Evidence from India
Day-of-the-week effect on the Tunisian stock market return and volatility
Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies
Rate of return on foreign investment income and employment labour protection: A panel analysis of thirty OECD countries
Research on geometric dimension measurement system of shaft parts based on machine vision
Application of machine vision technology in geometric dimension measurement of small parts
Exploration vs. acquisition of oil and gas reserves: Effect on stock returns
Realised volatility and industry momentum returns
Boundedness and long-time behavior in a parabolic-elliptic system arising from biological transport networks
How to obtain high returns with lower volatility in emerging markets?
Idiosyncratic volatility and stock returns: Indian evidence
Volatility behavior of asset returns based on robust volatility ratio: Empirical analysis on global stock indices
Does behavioural theory explain return-implied volatility relationship? Evidence from India
Day-of-the-week effect on the Tunisian stock market return and volatility
Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies
Rate of return on foreign investment income and employment labour protection: A panel analysis of thirty OECD countries
Research on geometric dimension measurement system of shaft parts based on machine vision