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

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    Author(s)
    Tularam, Gurudeo Anand
    Reza, Rajibur
    Griffith University Author(s)
    Tularam, Gurudeo A.
    Reza, S M Rajibur
    Year published
    2016
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    Abstract
    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 ...
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    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.
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    Journal Title
    Cogent Economics & Finance
    Volume
    4
    DOI
    https://doi.org/10.1080/23322039.2016.1139437
    Copyright Statement
    © 2016 The Author(s). This open access article is distributed under a Creative Commons Attribution (CC-BY) 4.0 license.
    Subject
    Applied Statistics
    Publication URI
    http://hdl.handle.net/10072/99560
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    • Journal articles

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