From Flow to Finance: Multidimensional Volatility Connectedness of World Water Stocks
用15年日度数据研究水股票与其他可持续股票、金融资产和大宗商品的波动溢出关联，发现水股票在分布尾部传递上行风险，对投资者和政策制定者有参考价值。
ABSTRACT Sustainable investment has emerged as a pivotal frontier in global asset management, redefining success by integrating profitability with environmental and social responsibility. This study examines the volatility spillover connectedness of water stocks with other sustainable stocks, financial assets, and commodities using 15 years of daily data from Refinitiv London Stock Exchange Group DataStream. Employing connectedness methodologies, the analysis reveals distinct patterns of interdependence. The findings underscore the volatility quantile connectedness between water stocks and other investment options, especially in the distribution tails, which signify the transmission of upside risk from water stocks. The findings appear robust, with portfolio analysis suggesting portfolio adjustments, hedging, and financial stability. These results provide valuable insights for investors, policymakers, and market participants, highlighting the dual imperatives of environmental sustainability and economic resilience, and thereby contributing to the broader climate change agenda.