Water exchange traded funds: A study on idiosyncratic risk using Markov switching analysis

Artikel

We investigate the relationship between idiosyncratic risk and return among four water exchange traded funds-PowerShares Water Resources Portfolio, Power Shares Global Water, First Trust ISE Water Index Fund, and Guggenheim S&P Global Water Index ETF using the Markov switching model for the period 2007-2015. The generated transition probabilities in this paper show that there is a high and low probability of switching between Regimes 1 and 3, respectively. Moreover, we find that the idiosyncratic risk for most of the exchange traded funds move from low volatility (Regime 2) to very low volatility (Regime 1 and 3). Our study also identify that the beta coefficients are positive and entire values are less than 1. Thus, it seems that water investment has a lower systematic risk and a positive effect on the water exchange traded index funds returns during different regimes.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 4 ; Year: 2016 ; Issue: 1 ; Pages: 1-12 ; Abingdon: Taylor & Francis

Klassifikation und Themen

• Klassifikation: Wirtschaft
• Thema: idiosyncratic risk ; water investment ; transition probabilities ; Markov switching model ; water exchange traded funds

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Tularam, Gurudeo Anand ; Reza, Rajibur
• Ereignis: Veröffentlichung
• (wer): Taylor & Francis
• (wo): Abingdon
• (wann): 2016

Weitere Informationen

• DOI: doi:10.1080/23322039.2016.1139437
• Handle: http://hdl.handle.net/10419/147790
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ