On Hedging Properties of Infrastructure Assets during the Pandemic: What We Learn from Global and Emerging Markets?
Bambang Susantono (),
Gazi Uddin (),
Donghyun Park () and
Shu Tian ()
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Bambang Susantono: Knowledge Management and Sustainable Development, Asian Development Bank, Mandaluyong 1550, Philippines
Shu Tian: Economic Research and Regional Cooperation Department, Asian Development Bank, Mandaluyong 1550, Philippines
Sustainability, 2022, vol. 14, issue 5, 1-14
Infrastructure investment is essential for economic development for both developed and developing economies. We analyze the short-term return behavior and portfolio characteristics of the global, regional, and selected Asian countries’ infrastructure indexes during the pandemic over the sample period 3 July 2018 to 1 July 2021. According to the multivariate Glosten, Jagannathan, and Runkle (GJR) Generalized Autoregressive Conditional Heteroscedasticity (GARCH) with dynamic conditional correlation (DCC) model, infrastructure assets are very heterogeneous depending on the corresponding asset classes. Empirical evidence suggests that infrastructure can be treated as a separate asset sub-class within conventional financial assets. Moreover, we quantify the co-movements between returns on various listed infrastructure indexes and major asset classes, including equity, commodity, currency, and bond index returns. We find that infrastructure assets offer hedging potential against the USD index and USD denominated assets.
Keywords: infrastructure asset; equity; crude oil; currency index (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:gam:jsusta:v:14:y:2022:i:5:p:2987-:d:763747
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