On Hedging Properties of Infrastructure Assets during the Pandemic: What We Learn from Global and Emerging Markets?

Infrastructure investment is essential for economic development both developed and developing economies. We analyze the short-term return behavior portfolio characteristics of global, regional, selected Asian countries’ infrastructure indexes during pandemic over sample period 3 July 2018 to 1 2021. According multivariate Glosten, Jagannathan, Runkle (GJR) Generalized Autoregressive Conditional Heteroscedasticity (GARCH) with dynamic conditional correlation (DCC) model, assets are very heterogeneous depending on corresponding asset classes. Empirical evidence suggests that can be treated as a separate sub-class within conventional financial assets. Moreover, we quantify co-movements between returns various listed major classes, including equity, commodity, currency, bond index returns. find offer hedging potential against USD denominated