On Hedging Properties of Infrastructure Assets during the Pandemic: What We Learn from Global and Emerging Markets?
Sustainability
; 14(5):2987, 2022.
Article
in English
| ProQuest Central | ID: covidwho-1742671
ABSTRACT
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.
Environmental Studies; infrastructure asset; equity; crude oil; currency index; Pandemics; Diversification; Monopolistic competition; Trends; Infrastructure; Risk factors; Empirical analysis; Asset allocation; International finance; COVID-19; Portfolio management; Emerging markets; Stock exchanges; Hedging; Electricity; Sustainable development; Institutional investments; Securities markets; Economic development; Stochastic models; Economic analysis; Coronaviruses; Asia; United States--US
Full text:
Available
Collection:
Databases of international organizations
Database:
ProQuest Central
Language:
English
Journal:
Sustainability
Year:
2022
Document Type:
Article
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