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  • Returns and volatility of water investments

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    RezaPUB6337.pdf (3.884Mb)
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    Author(s)
    Reza, Rajibur
    Tularam, Gurudeo Anand
    Li, Bin
    Griffith University Author(s)
    Tularam, Gurudeo A.
    Reza, S M Rajibur
    Li, Bin
    Year published
    2018
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    Abstract
    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, ...
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    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 volatility (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 opportunity for portfolio diversification in different periods.
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    Journal Title
    Cogent Economics & Finance
    Volume
    6
    DOI
    https://doi.org/10.1080/23322039.2018.1438724
    Copyright Statement
    © 2018 The Author(s). This open access article is distributed under a Creative Commons Attribution (CC-BY) 4.0 license which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
    Subject
    Banking, finance and investment not elsewhere classified
    Publication URI
    http://hdl.handle.net/10072/379938
    Collection
    • Journal articles

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