Water and traditional asset classes

卷:52

Article

关键词: QUANTILE REGRESSION;    INVESTMENT;   

DOI  :  10.1016/j.frl.2022.103394

来源: SCIE

【 摘 要 】

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 per-formed 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.

【 授权许可】

Free