Volatility Spillovers in Water Exchange-Traded Funds

Abstract

Water is one of the planet's essential and extensively used resource. However, it is predicted that around 3.2 billion people will face severe water shortages by 2030. Hence, there is an urgent need to expand water utilities, water infrastructure, and water treatment plants to maximally protect water resources. Investment in water is essential for supporting this cause, and private funding is a way to meet the financial needs of the water industry. This study examines returns and volatility of four water exchange-traded funds (ETFs). Using the GARCH, EGARCH, and TGARCH models, this study shows the existence of persistence of volatility among the four water ETFs at the 1% level. The analyses and results of this study show important implications for investors and stakeholders, enabling them to make appropriate decisions.