Inflation Hedging Potential of Infrastructure Sector and Sub-Sector Returns—Evidence from Emerging Markets

IF 0.4 Q4 BUSINESS, FINANCE Journal of Alternative Investments Pub Date : 2023-08-13 DOI:10.3905/jai.2023.1.199
Surbhi Gupta, A. Sharma
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Abstract

This article tests the inflation hedging ability of infrastructure investments in both the short and long run in four of the major emerging markets. Based on the Generalized Fisher Hypothesis (GFH), we use Fama and Schwert’s framework and Granger causality tests for short-term insights, and Engle and Granger co-integration for a long run analysis, to examine the inflation hedging effectiveness of various listed indexes (composite infrastructure, energy, communication, utilities, common stock, and property). The findings indicate that infrastructure and its sub-sectors constitute a more effective hedge against inflation in the long run than in the short run. The empirical results also stress the presence of an inherent heterogeneity within the infrastructure sector, and suggest that real estate and infrastructure should be considered separately in investors’ portfolios. Our results have implications for investors, including institutional and retail, provided they have longer investment horizons, and for other market players to see infrastructure in the light of a unique asset class.
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基础设施行业的通胀对冲潜力和子行业回报——来自新兴市场的证据
本文测试了四个主要新兴市场基础设施投资的短期和长期通胀对冲能力。基于广义Fisher假说(GFH),我们使用Fama和Schwert的框架和Granger因果关系检验进行短期洞察,并使用Engle和Granger协整进行长期分析,以检验各种上市指数(综合基础设施、能源、通信、公用事业、普通股和房地产)的通胀对冲有效性。研究结果表明,从长远来看,基础设施及其子行业比从短期来看更能有效对冲通胀。实证结果还强调了基础设施部门内部存在固有的异质性,并建议在投资者的投资组合中应分别考虑房地产和基础设施。我们的研究结果对包括机构和零售业在内的投资者都有影响,前提是他们有更长的投资视野,也对其他市场参与者从独特的资产类别来看基础设施有影响。
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来源期刊
CiteScore
1.50
自引率
14.30%
发文量
40
期刊介绍: The Journal of Alternative Investments (JAI) provides you with cutting-edge research and expert analysis on managing investments in hedge funds, private equity, distressed debt, commodities and futures, energy, funds of funds, and other nontraditional assets. JAI is the official publication of the Chartered Alternative Investment Analyst Association (CAIA®). JAI provides you with challenging ideas and practical tools to: •Profit from the growth of hedge funds and alternatives •Determine the optimal mix of traditional and alternative investments •Measure and track portfolio performance •Manage your alternative investment portfolio with proven risk management practices
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