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Water and traditional asset classes

Author

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  • Díaz-Mendoza, Ana Carmen
  • Pardo, Ángel

Abstract

Data from the most representative water exchange-traded index funds (ETFs) at the worldwide level has been selected to analyze their role in the performance of portfolios that follow the main US and European stock, bond and volatility benchmarks. The empirical analysis has been performed using cross- correlation analysis and Quantile Regression methodology. Our results indicate that water assets can play the roles of diversifier, hedge and safe haven for equity, fixed income and volatility indices, respectively.

Suggested Citation

  • Díaz-Mendoza, Ana Carmen & Pardo, Ángel, 2023. "Water and traditional asset classes," Finance Research Letters, Elsevier, vol. 52(C).
    • Handle: RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005712
    DOI: 10.1016/j.frl.2022.103394
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    References listed on IDEAS

    as
    1. Dirk G. Baur & Brian M. Lucey, 2010. "Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold," The Financial Review, Eastern Finance Association, vol. 45(2), pages 217-229, May.
    2. Baur, Dirk G. & McDermott, Thomas K., 2010. "Is gold a safe haven? International evidence," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1886-1898, August.
    3. B. Michael Gilroy & Heike Schreckenberg & Volker Seiler, 2013. "Water as an Asset Class (Revised Version)," Working Papers CIE 55, Paderborn University, CIE Center for International Economics.
    4. Samitas, Aristeidis & Papathanasiou, Spyros & Koutsokostas, Drosos & Kampouris, Elias, 2022. "Are timber and water investments safe-havens? A volatility spillover approach and portfolio hedging strategies for investors," Finance Research Letters, Elsevier, vol. 47(PA).
    5. Marta Alvarez & Javier Rodríguez, 2015. "Water-related mutual funds: investment performance and social role," Social Responsibility Journal, Emerald Group Publishing Limited, vol. 11(3), pages 502-512, August.
    6. Reza, Rajibur & Tularam, Gurudeo Anand & Li, Bin, 2021. "A review of global research on private investment in the water sector," Utilities Policy, Elsevier, vol. 72(C).
    7. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    8. Baur, Dirk G., 2013. "The structure and degree of dependence: A quantile regression approach," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 786-798.
    9. Marta Alvarez & Javier Rodríguez, 2015. "Water-related mutual funds: investment performance and social role," Social Responsibility Journal, Emerald Group Publishing Limited, vol. 11(3), pages 502-512, August.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Water; ETFs; diversifier; hedge; safe haven; quantile regression;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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