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dc.contributor.authorTularam, Gurudeo Anand
dc.contributor.authorReza, Rajibur
dc.date.accessioned2018-01-18T23:45:47Z
dc.date.available2018-01-18T23:45:47Z
dc.date.issued2016
dc.identifier.issn2332-2039
dc.identifier.doi10.1080/23322039.2016.1139437
dc.identifier.urihttp://hdl.handle.net/10072/99560
dc.description.abstractWe 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.
dc.description.peerreviewedYes
dc.languageEnglish
dc.publisherCogent OA
dc.relation.ispartofpagefrom1139437-1
dc.relation.ispartofpageto1139437-12
dc.relation.ispartofjournalCogent Economics & Finance
dc.relation.ispartofvolume4
dc.subject.fieldofresearchApplied Statistics
dc.subject.fieldofresearchcode010401
dc.titleWater exchange traded funds: A study on idiosyncratic risk using Markov switching analysis
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
dcterms.licensehttps://creativecommons.org/licenses/by/4.0/
dc.description.versionPublished
gro.facultyGriffith Sciences, Griffith School of Environment
gro.rights.copyright© 2016 The Author(s). This open access article is distributed under a Creative Commons Attribution (CC-BY) 4.0 license.
gro.hasfulltextFull Text
gro.griffith.authorTularam, Gurudeo A.
gro.griffith.authorReza, S M Rajibur


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