Risk hedging properties of infrastructure: a quantile regression approach
Studies in Economics and Finance
; 40(2):302-312, 2023.
Article
in English
| ProQuest Central | ID: covidwho-2261669
ABSTRACT
PurposeThis paper aims to examine the hedge, diversifier and safe haven properties of the global listed infrastructure sector and subsector indices against two traditional asset classes, stocks and bonds, and four alternative asset classes, including commodities, real estate, private equity and hedge funds during extreme negative stock market movements.Design/methodology/approachUsing dynamic conditional correlation and quantile regression, the authors analyze a data set of 12 indices comprising listed infrastructure and traditional asset classes from 2010 to 2019.FindingsOverall, the findings indicate that listed infrastructure acts as an effective diversifier but not as a strong safe haven or hedge when considered in a multiasset context. With minor exceptions, listed infrastructure cannot be concluded as a safe haven against other asset classes under investigation.Practical implicationsThe present study has implications for institutional investors looking to incorporate infrastructure in their multiasset portfolios for increased portfolio diversification benefits.Originality/valueDespite the increased influence of infrastructure as an asset class, to the best of the authors' knowledge, this is the first study to investigate the hedge, safe haven and diversifying properties of infrastructure in a multi-asset context.
Business And Economics--Economic Systems And Theories; Economic History, Hedge, Diversifier, Safe haven, Infrastructure, Quantile regression, DCC-GARCH, Stock exchanges, Exceptions, Hedging, Datasets, Diversification, Institutional investments, Portfolios, Securities markets, Pandemics, Commodities, Stock market, International finance, Time series, Assets, Coronaviruses, COVID-19, Equity, Portfolio management, United States--US, 52321:Securities and Commodity Exchanges
Full text:
Available
Collection:
Databases of international organizations
Database:
ProQuest Central
Type of study:
Prognostic study
Language:
English
Journal:
Studies in Economics and Finance
Year:
2023
Document Type:
Article
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