Abstract
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 performed 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.
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