Investments in the Asian water sector: an analysis based on the DCC-GARCH model

Rajibur Reza, Gurudeo Anand Tularam, Xiyang Li () and Bin Li
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Rajibur Reza: Griffith University, Nathan Campus
Gurudeo Anand Tularam: Griffith University, Nathan Campus
Xiyang Li: Soochow University
Bin Li: Griffith University, Nathan Campus

Palgrave Communications, 2022, vol. 9, issue 1, 1-9

Abstract: Abstract The availability of potable water is a challenging issue for many Asian countries where economies are still expanding and the population is growing. It is not difficult to observe that water scarcity will become far worse, sooner rather than later. In this study, we investigate the relationships among water indices in five Asian markets (namely China, Hong Kong, Japan, Philippines and Singapore) for the sample period 2005–2018 using the DCC-GARCH model. The empirical results confirm that volatility spillover exists among all the five water indices and there are persistent positive volatility effects. Further, we find that portfolio diversification is possible and benefits may be gained due to the contrasting correlations between pairs of these water indices. The findings of this study may be useful to academics, researchers, policymakers and major water investors worldwide in further comprehending the challenges faced by the Asian water market.

Date: 2022
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DOI: 10.1057/s41599-022-01470-4

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