Returns and volatility of water investments

References

• 2030 Water Resources Group. (2006). Charting our water future. Retrieved May 02, 2017 from http://www.mckinsey.com/business-functions/sustainability-and-resource-productivity/our-insights/charting-our-water-future
   Google Scholar
• Abdalla, S. Z. S. (2012). Modelling exchange rate volatility using GARCH models: Empirical evidence from Arab countries. International Journal of Economics and Finance, 4, 216–229. doi:10.5539/ijef.v4n3p216
   Google Scholar
• Alberg, D., Shalit, H., & Yosef, R. (2008). Estimating stock market volatility using asymmetric GARCH models. Applied Financial Economics, 18, 1201–1208. doi:10.1080/09603100701604225.
   Google Scholar
• Asteriou, D., & Begiazi, K. (2013). Modeling of daily REIT returns and volatility. Journal of Property Investment & Finance, 31, 589–601.10.1108/JPIF-06-2013-0035
   Google Scholar
• Atkinson, W. (2009). Water investing. Equities, 1, 32–33.
   Google Scholar
• Bae, K. H., & Karolyi, G. A. (1994). Good news, bad news and international spillovers of stock return volatility between Japan and the US. Pacific-Basin Finance Journal, 2, 405–438.10.1016/0927-538X(94)90003-5
   Google Scholar
• Baillie, R. T., & DeGennaro, R. P. (1990). Stock returns and volatility. Journal of Financial and Quantitative Analysis, 25, 203–215.10.2307/2330824
   Web of Science ®Google Scholar
• Basher, S. A., Hassan, K. M., & Islam, A. M. (2007). Time-varying volatility and equity returns in Bangladesh stock market. Applied Financial Economics, 17, 1393–1407.10.1080/09603100600771034
   Google Scholar
• Beppu. (2007). Asia’s next challenge: Securing the region’s water future, Asia Society, Singapore. Retrieved August 26, 2014, from, [https://asiasociety.org/files/pdf/WaterSecurityReport.pdf
   Google Scholar
• Berlant, N. D. (2007). Investing in the water industry. Wall Street Transcript, 183, 1–11.
   Google Scholar
• Black, F. (1976). Studies of stock price volatility changes. In Proceedings of the 1976 Meeting of the Business and Economic Statistics Section, American Statistical Association (pp. 177–181). Washington, DC.
   Google Scholar
• Brandt, M. W., & Jones, C. S. (2006). Volatility forecasting with range-based EGARCH models. Journal of Business & Economic Statistics, 24, 470–485.
   Web of Science ®Google Scholar
• Buckland, R., & Williams, J. (2013). Volatility and regulation in water supply and distribution: A post-privatization comparison of UK and US water utilities. Business School, University of Aberdeen, and Aberdeen University. Research Archive (AURA). Retrieved July 26, 2014, from http://aura.abdn.ac.uk/bitstream/2164/2968/1/WaterUtilityPaperforAURA.pdf
   Google Scholar
• Chen, Y. T., & Kuan, C. M. (2002). Time irreversibility and E-GARCH effects in US stock index returns. Journal of Applied Econometric, 17, 565–578.
   Web of Science ®Google Scholar
• Cheung, Y.-W., & Ng, L. K. (1992). Stock price dynamics and firm size: An empirical investigation. The Journal of Finance, 47, 1985–1997.10.1111/j.1540-6261.1992.tb04693.x
   Web of Science ®Google Scholar
• Chou, R. Y. (1988). Volatility persistence and stock valuations: Some empirical evidence using garch. Journal of Applied Econometrics, 3, 279–294.10.1002/(ISSN)1099-1255
   Web of Science ®Google Scholar
• CSIRO. (2009, February 10). Urban water: Addressing Australia’s urban water challenges. Retrieved April 26, 2017, from http://www.csiro.au/science/Urban-Water
   Google Scholar
• Dedi, L., & Yavas, B. F. (2016). Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies. Cogent Economics & Finance, 4, 1–18.
   Web of Science ®Google Scholar
• Epaphra, M. (2017). Modeling exchange rate volatility: Application of the GARCH and EGARCH models. Journal of Mathematical Finance, 7, 121–143.10.4236/jmf.2017.71007
   Google Scholar
• Fadzil, M. J. M., O’Hara, J. G., & Ng, W. L. (2017). Cross-sectional volatility index as a proxy for the VIX in an Asian market. Cogent Economics & Finance, 5, 1–15.
   Web of Science ®Google Scholar
• French, K. R., Schwert, G. W., & Stambaugh, R. F. (1987). Expected returns and volatility. Journal of Financial Economics, 19, 3–29.10.1016/0304-405X(87)90026-2
   Web of Science ®Google Scholar
• Gallo, G. M. & Pacini, B. (2000). The effects of trading activity on market volatility. The European Journal of Finance, 6, 163–175. doi:10.1080/13518470050020824
   Google Scholar
• Geman, H., & Kanyinda, A. (2007). Water as the next commodity. The Journal of Alternative Investments, 10, 23–30.10.3905/jai.2007.695264
   Google Scholar
• Gil-Alana, L. A., & Tripathy, T. (2014). Modelling volatility persistence and asymmetry: A study on selected Indian non-ferrous metals markets. Resources Policy, 41, 31–39.10.1016/j.resourpol.2014.02.004
   Web of Science ®Google Scholar
• Global Water Intelligence. (2007). Global water market 2008. Oxford.
   Google Scholar
• Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. The Journal of Finance, 48, 1779–1801.10.1111/j.1540-6261.1993.tb05128.x
   Web of Science ®Google Scholar
• Jánský, I., & Rippel, M. (2011). Value at risk forecasting with the ARMA-GARCH family of models in times of increased volatility (IES Working Paper 27/2011). IES FSV. Charles University.
   Google Scholar
• Jin, Y., Li, B., & Roca, E, Wong, V. (2014). Investment returns in the water industry: A survey. International Journal of Water, 8, 183–199.10.1504/IJW.2014.060965
   Google Scholar
• Jin, Y., Li, B., Roca, E., &, Wong, V. (2016). Water as an investment: Liquid yet illiquid. Applied Economics, 9, 731–745. 10.1080/00036846.2015.1085646
   Google Scholar
• Jin, Y., Roca, E., Li, B., Wong, V., & Cheung, A. (2015). Sprinkle your investment portfolio with water!. International Journal of Water, 9, 43–59.10.1504/IJW.2015.067445
   Google Scholar
• Jones, J. A. (2009). Threats to global water security: Population growth terrorism, climate change, or commercialization? In J. A. Jones, T. G. Vardanian, & C. Hakopian (Eds.), Threats to global water security (pp. 3–13). Dordrecht: Springer.10.1007/978-90-481-2344-5
   Google Scholar
• Karunanayake, I., & Valadkhani, A. (2011). Asymmetric dynamics in stock market volatility. Economic Papers, 30, 279–287.10.1111/j.1759-3441.2011.00101.x
   Google Scholar
• Kearney, H. (2008). Water, water, everywhere - but investors aren’t in synch. On Wall Street, 18, 20–20.
   Google Scholar
• Keenan, C. (2008). A precious resource. Black Enterprise, 38, 44.
   Google Scholar
• Koutmos, G. (1992). Asymmetric volatility and risk return tradeoff in foreign stock markets. Journal of Multinational Financial Management, 2, 27–43.
   Google Scholar
• Koutmos, G. (1996). Modelling the dynamic interdependence of major european stock markets. Journal of Business Finance & Accounting, 23, 975–988.10.1111/jbfa.1996.23.issue-7
   Google Scholar
• Koutmos, G., & Booth, G. G. (1995). Asymmetric volatility transmission in international stock markets. Journal of International Money and Finance, 14, 747–762.10.1016/0261-5606(95)00031-3
   Web of Science ®Google Scholar
• Krishnamurti, C., Tian, G. G., Xu, M., & Li, G. (2013). No news is not good news: Evidence from the intra-day return volatility–volume relationship in Shanghai stock exchange. Journal of the Asia Pacific Economy, 18, 149–167.10.1080/13547860.2012.742709
   Web of Science ®Google Scholar
• Ljung, G. M., & Box, G. E. P. (1978). On a measure of a lack of fit in time seriesmodels. Biometrika, 65, 297–303.10.1093/biomet/65.2.297
   Web of Science ®Google Scholar
• Lux, T., Segnon, M., & Gupta, R. (2016). Forecasting crude oil price volatility and value-at-risk: Evidence from historical and recent data. Energy Economics, 56, 117–133.10.1016/j.eneco.2016.03.008
   Web of Science ®Google Scholar
• McAleer, M. (2014). Asymmetry and leverage in conditional volatility models. Econometrics, 2, 145–150.10.3390/econometrics2030145
   Google Scholar
• McAleer, M., & Hafner, C. A. (2014). One line derivation of EGARCH. Econometrics, 2, 92–97.
   Google Scholar
• Morana, C., & Sawkins, J. W. (2000). Regulatory uncertainty and share price volatility: The English and Welsh water industry’s periodic price review. Journal of Regulatory Economics, 17, 87–100.10.1023/A:1008105405621
   Web of Science ®Google Scholar
• Nelson, D. (1991). Conditional heteroscedasticity in asset returns: A new approach. Econometrica, 59, 347–370.10.2307/2938260
   Web of Science ®Google Scholar
• Nikolaou, L. E., Kourouklaris, G., & Tsalis, T. A. (2014). A framework to assist the financial community in incorporating water risks into their investment decisions. Journal of Sustainable Finance and Investment, 4, 93–109.10.1080/20430795.2013.823853
   Google Scholar
• Ouda, O. K. M. (2014). Water demand versus supply in Saudi Arabia: Current and future challenges. International Journal of Water Resources Development, 30, 335–344.10.1080/07900627.2013.837363
   Web of Science ®Google Scholar
• Pagan, A. R., & Schwert, G. W. (1990). Alternate models for conditional stock volatility. Journal of Econometrics, 45, 267–290.10.1016/0304-4076(90)90101-X
   Web of Science ®Google Scholar
• Pescetto, G. M. (2008). Regulation and systematic risk: The case of the water industry in England and Wales. Applied Financial Economics, 18, 61–73.10.1080/09603100601057847
   Google Scholar
• Pindyck, R. S. (1986). Risk, inflation and the stock market. American Economic Review, 74, 335–351.
   Web of Science ®Google Scholar
• Poon, S. H., & Granger, C. W. J. (2003). Forecasting volatility in financial markets: A review. Journal of Economic Literature, 41, 478–539.10.1257/.41.2.478
   Web of Science ®Google Scholar
• Poon, S. H., & Taylor, S. J. (1992). Stock returns and volatility: An empirical study of the UK stock market. Journal of Banking and Finance, 16, 37–59.10.1016/0378-4266(92)90077-D
   Web of Science ®Google Scholar
• Poterba, J. M., & Summers, L. H. (1986). The persistence of volatility and stock market returns. American Economic Review, 76, 1142–l151.
   Web of Science ®Google Scholar
• Reza, R., Tularam, G. A., & Li, B. (2017). An investigation into the interdependence of global water indices: A VAR analysis. Applied Economics, 49, 769–796.10.1080/00036846.2016.1205725
   Web of Science ®Google Scholar
• Roca, E. D., & Tularam, G. A. (2012). Which way does water flow? An econometric analysis of the global price integration of water stocks. Applied Economics, 44, 2935–2944.10.1080/00036846.2011.568403
   Web of Science ®Google Scholar
• Roca, E., Li, B., & Wong, V. (2013). Water your investment portfolio. Financial Planning Magazine, 24, 36–37.
   Google Scholar
• Roca, E., Tularam, G. A., & Reza, R. (2015). Fundamental signals of investment profitability in the global water industry. International Journal of Water, 9, 395–424.10.1504/IJW.2015.072155
   Google Scholar
• Schwert, G. W. (1990). Indexes of US stock prices from 1802 to 1987. The Journal of Business, 63, 399–426.10.1086/jb.1990.63.issue-3
   Web of Science ®Google Scholar
• Theodossiou, P., & Lee, U. (1993). Mean and volatility spillovers across major national stock markets: Further empirical evidence. Journal of Financial Research, 16, 337–350. doi:10.1111/j.1475-6803.1993.tb00152.x.
   Web of Science ®Google Scholar
• Societe Generale. (2006). Investing in water-with the world water index. Societe Generale. Generale. Retrieved March 23, 2011, from http://www.equityderivatives.com/admins/files/other/comdeai/en/files/38.pdf
   Google Scholar
• Summit Global Management. (2017). Overview: Why invest in water? San Diego, CA: Author.
   Google Scholar
• Tsuji, C. (2016). Does the fear gauge predict downside risk more accurately than econometric models? Evidence from the US stock market. Cogent Economics & Finance, 4, 1–42.
   Web of Science ®Google Scholar
• Tularam, A., Wong, V., & Roca, E. (2009). An analysis of Australian superannuation funds volatility using EGARCH approach. Studies in Regional and Urban Planning, 12, 143–160.
   Google Scholar
• Tularam, G. A. (2010). Relationship between El Niño Southern oscillation index and rainfall (Queensland, Australia). International Journal of Sustainable Development and Planning, 5, 378–391.10.2495/SDP
   Google Scholar
• Tularam, G. A. (2014). Investing in water for a green economy. Australian Planner, 51, 372–373.10.1080/07293682.2014.948987
   Google Scholar
• Tularam, G. A., & Hassan, O. M. (2016). Water availability and food security: Implication of people’s movement and migration in sub-Saharan Africa (SSA). In M. Thangarajan & V. P. Singh (Eds.), Groundwater assessment, modeling, and management (pp. 405–426). Boca Raton, FL: Taylor & Francis Group10.1201/9781315369044
   Google Scholar
• Tularam, G. A., & Illahee, M. (2010). Time series analysis of rainfall and temperature interactions in coastal catchments. Journal of Mathematics and Statistics, 6, 372–380.10.3844/jmssp.2010.372.380
   Google Scholar
• Tularam, G. A., & Keeler, H. P. (2006). The study of coastal groundwater depth and salinity variation using time series analysis. Environmental Impact Assessment Review, 26, 633–642.10.1016/j.eiar.2006.06.003
   Web of Science ®Google Scholar
• Tularam, G. A., & Krishna, M. (2009). Long term consequences of groundwater pumping in Australia: A review of impacts around the globe. Journal of Applied Sciences in Environmental Sanitation, 4, 151–166.
   Google Scholar
• Tularam, G. A., & Marchisella, P. (2014). Securing water and wastewater systems. International Practices for Protecting Water and Wastewater Infrastructure. Springer.
   Google Scholar
• Tularam, G. A., & Murali, K.K. (2015). Water security problems in Asia and longer term implications for Australia. In W. L. Filho & V. Sümer (Eds.), Sustainable water use and management green energy and technology (pp. 119–149). Switzerland: Springer Publications. doi:10.1007/978-3-319-12394-3
   Google Scholar
• Tularam, G. A., & Properjohn, M. (2011). An investigation into water distribution network security: Risk and implications. Security Journal, 4, 1057–1066.
   Google Scholar
• Tularam, G. A., & Reza, R. (2016). Water exchange traded funds: A study on idiosyncratic risk using Markov switching analysis. Cogent Economics & Finance, 4, 1–12.
   Web of Science ®Google Scholar
• Tularam, G. A., & Reza, R. (2017). The critical importance of groundwater in coastal areas: Impact of climate change on Bangladesh freshwater resources. Journal of Climate Change, 3, 59–70.10.3233/JCC-170006
   Web of Science ®Google Scholar
• Tularam, G. A., & Saeed, T. (2016). Oil-price forecasting based on various univariate time-series models. American Journal of Operations Research, 6, 226–235.10.4236/ajor.2016.63023
   Google Scholar
• Tularam, G. A., & Singh, R. (2009). Estuary, river and surrounding groundwater quality deterioration associated with tidal intrusion. Journal of Applied Sciences in Environmental Sanitation, 4, 141–150.
   Google Scholar
• Wang, W., Gelder, P. H. A. J. M. V., Vrijling, J. K., & Ma, J. (2005). Testing and modelling autoregressive conditional heteroskedasticity of streamflow processes. Nonlinear Processes in Geophysics, 12, 55–66.10.5194/npg-12-55-2005
   Web of Science ®Google Scholar
• White, S., Biernat, J., Duffy, K., Kavalar, M. H., Kort, W. E., Naumes, J.S., … Stoffel, C. R. (2010). Water markets of the United States and the world: A strategic analysis for the Milwaukee Water Council Milwaukee, Wisconsin. Milwaukee, WI: University of Wisconsin-Milwaukee.
   Google Scholar
• WHO & UNICEF. (2006). Meeting the MDG drinking water and sanitation target: The urban and rural challenge of the decade. Retrieved May 12, 2017, from http://apps.who.int/iris/handle/10665/43488
   Google Scholar
• Wild, D., Francke, C. J., Menzli, P., & Schon, U. (2007). Water: A market of the future. Zurich: SAM Sustainable Asset Management.
   Google Scholar
• Wild, D., Francke, C. J., Menzli, P., & Schon, U. (2010). Water: A market of the future. Zurich: SAM Sustainable Asset Management.
   Google Scholar
• Zhou, B., He, D., & Sun, Z. (2006). Traffic modelling and prediction using ARMA/GARCH model. In A. N. Inee & E. Topuz (Eds.), Modelling and simulation tools for emerging telecommunication networks (pp. 101–121). Boston, MA: Springer. doi:10.1007/0-387-34167-6
   Google Scholar