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dc.contributor.authorReza, Rajibur
dc.contributor.authorTularam, Gurudeo Anand
dc.contributor.authorLi, Bin
dc.date.accessioned2018-08-17T01:41:12Z
dc.date.available2018-08-17T01:41:12Z
dc.date.issued2017
dc.identifier.issn0003-6846
dc.identifier.doi10.1080/00036846.2016.1205725
dc.identifier.urihttp://hdl.handle.net/10072/143090
dc.description.abstractWe investigate the extent and manner of equity price interdependence among four water indices – World Water Index, S-Network Global Water index (S-Net), S&P Global Water Index (S&P) and MSCI ACWI Water Utilities Index (MSCI ACWI) using the vector autoregression (VAR) framework for the period 2004–2014. We also employ methods of Granger causalities, variance decomposition and impulse responses. We find Granger causality significance between S-Net and MSCI ACWI and S-Net and S&P indices at the 1% level of significance, suggesting that the indices are significantly linked. Further, S-Net is the most influential index amongst them in the forecast variance that can be accounted by S-Net at level of 55.75%. Our study indicates that the four water indices are interdependent and related, so the water indices are influenced by movements in the other water indices.
dc.description.peerreviewedYes
dc.languageEnglish
dc.publisherRoutledge
dc.relation.ispartofpagefrom769
dc.relation.ispartofpageto796
dc.relation.ispartofissue8
dc.relation.ispartofjournalApplied Economics
dc.relation.ispartofvolume49
dc.subject.fieldofresearchApplied economics
dc.subject.fieldofresearchApplied economics not elsewhere classified
dc.subject.fieldofresearchEconometrics
dc.subject.fieldofresearchcode3801
dc.subject.fieldofresearchcode380199
dc.subject.fieldofresearchcode3802
dc.titleAn investigation into the interdependence of global water indices: a VAR analysis
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.facultyGriffith Business School, Department of Accounting, Finance and Economics
gro.description.notepublic
gro.hasfulltextNo Full Text
gro.griffith.authorLi, Bin


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