Are timber and water investments safe-havens? A volatility spillover approach and portfolio hedging strategies for investors
| dc.contributor.author | Kampouris, Elias | |
| dc.contributor.author | Samitas, Aristeidis | |
| dc.contributor.author | Koutsokostas, Drosos | |
| dc.contributor.author | Papathanasiou, Spyros | |
| dc.date.accessioned | 2024-06-12T10:18:30Z | |
| dc.date.available | 2024-06-12T10:18:30Z | |
| dc.date.issued | 2022-06-06 | |
| dc.description | Under constantly changing conditions in the financial markets, investors seek alternative instruments to improve the performance of their portfolios and, simultaneously, minimize the risk entailed. Natural capital investing has recently been in the forefront of the economic agenda as a rapidly rising trend internationally (Lesser et al., 2016; Taghizadeh-Hesary and Yoshino, 2019; Papathanasiou et al., 2020), as it contributes to combating climate change and stimulating environmental awareness. Water is arguably the most important resource on planet earth. An increasing number of people are already experiencing stress for future water scarcity and, thus, opportunities emerge for forward-thinking investors to invest in water. The majority of the studies in the literature available highlight that water investments are always beneficial (Hogeboom et al., 2018; Pineiro-Chousa et al., 2020; Seidl et al., 2020). | |
| dc.description.abstract | Using a time-varying spillover approach, we investigate volatility spillovers between natural alternative investments, i.e. timber and water, and a battery of traditional instruments comprising equities, bonds, crude oil, gold, real estate, shipping and currency, for the period 1/1/2010–9/30/2021. Results show that the sample markets are moderately integrated and total connectedness escalated during stress periods. Moreover, we examine the hedging ability of timber and water by constructing optimal hedge ratios and portfolio weights. Both assets constitute an effective hedging tool for shipping, crude oil and bond investors, with the short position in the volatility of water to provide higher hedging effectiveness. Keywords: Water, safe-havens, investors, hedging strategies | |
| dc.identifier.citation | Samitas, A., Papathanasiou, S., Koutsokostas, D., & Kampouris, E. (2022). Are timber and water investments safe-havens? A volatility spillover approach and portfolio hedging strategies for investors. Finance Research Letters, 47, 102657. | |
| dc.identifier.doi | https://doi.org/10.1016/j.frl.2021.102657 | |
| dc.identifier.uri | https://dspace.adu.ac.ae/handle/1/5787 | |
| dc.language.iso | en | |
| dc.publisher | Elsevier | |
| dc.title | Are timber and water investments safe-havens? A volatility spillover approach and portfolio hedging strategies for investors | |
| dc.type | Article |
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