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An investigation into the interdependence of global water indices: a VAR analysis

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  • Rajibur Reza
  • Gurudeo Anand Tularam
  • Bin Li

Abstract

We 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.

Suggested Citation

  • Rajibur Reza & Gurudeo Anand Tularam & Bin Li, 2017. "An investigation into the interdependence of global water indices: a VAR analysis," Applied Economics, Taylor & Francis Journals, vol. 49(8), pages 769-796, February.
    • Handle: RePEc:taf:applec:v:49:y:2017:i:8:p:769-796
    DOI: 10.1080/00036846.2016.1205725
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    References listed on IDEAS

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    1. Beyza Mina Ordu & Uğur Soytaş, 2016. "The Relationship Between Energy Commodity Prices and Electricity and Market Index Performances: Evidence from an Emerging Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(9), pages 2149-2164, September.
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    Cited by:

    1. Rajibur Reza & Gurudeo Anand Tularam & Xiyang Li & Bin Li, 2022. "Investments in the Asian water sector: an analysis based on the DCC-GARCH model," Palgrave Communications, Palgrave Macmillan, vol. 9(1), pages 1-9, December.
    2. Yasir Alsaedi & Gurudeo Anand Tularam & Victor Wong, 2020. "Impact of Solar and Wind Prices on the Integrated Global Electricity Spot and Options Markets: A Time Series Analysis," International Journal of Energy Economics and Policy, Econjournals, vol. 10(2), pages 337-353.
    3. Qingru Sun & Xiangyun Gao & Shaobo Wen & Sida Feng & Ze Wang, 2019. "Modeling the impulse response complex network for studying the fluctuation transmission of price indices," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(4), pages 835-858, December.
    4. de Bonviller, Simon & Wheeler, Sarah Ann & Zuo, Alec, 2020. "The dynamics of groundwater markets: Price leadership and groundwater demand elasticity in the Murrumbidgee, Australia," Agricultural Water Management, Elsevier, vol. 239(C).
    5. 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).

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