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Risk hedging properties of infrastructure: a quantile regression approach

Risk hedging properties of infrastructure: a quantile regression approach This 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Studies in Economics and Finance Emerald Publishing

Risk hedging properties of infrastructure: a quantile regression approach

Gupta, Surbhi; Sharma, Anil K.
Studies in Economics and Finance , Volume 40 (2): 11 – Feb 20, 2023
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References (26)

Publisher
Emerald Publishing
Copyright
© Emerald Publishing Limited
ISSN
1086-7376
eISSN
1086-7376
DOI
10.1108/sef-07-2022-0382
Publisher site
See Article on Publisher Site

Abstract

This 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.

Journal

Studies in Economics and Finance – Emerald Publishing

Published: Feb 20, 2023

Keywords: Hedge; Diversifier; Safe haven; Infrastructure; Quantile regression; DCC-GARCH

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