Return and Volatility Spillovers Among the Thematic Indices in India

Majumder, Sayantan Bandhu

doi:10.1177/0972150921995476

Cited by 5 publications

(5 citation statements)

References 18 publications

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“…Marzuki and Newell (2021a) and Marzuki and Newell (2021b) used a unique data set of both listed and unlisted infrastructure to examine its portfolio diversification potential to find significant results in favor of infrastructure. Apart from this, two recent studies based on Indian data, Hasnat (2021) and Majumder (2021), found no significant evidence of stable cash flows by infrastructure investments. Similarly, Bianchi et al (2014) explored the separate asset class status of listed infrastructure in the USA and concluded against it.…”

Section: Introductionmentioning

confidence: 76%

Risk hedging properties of infrastructure: a quantile regression approach

Gupta

Sharma²

2022

SEF

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Purpose 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/approach Using 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. Findings Overall, 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 implications The present study has implications for institutional investors looking to incorporate infrastructure in their multiasset portfolios for increased portfolio diversification benefits. Originality/value Despite 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.

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Section: Introductionmentioning

confidence: 76%

Risk hedging properties of infrastructure: a quantile regression approach

Gupta

Sharma²

2022

SEF

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“…Numerous recent studies focus on the risk-return profiles of infrastructure and their overall benefits in the investment context (Marzuki et al, 2020). Their performance has been explored not only in the United States (Newell & Peng, 2008), but also in multiple countries, such as Australia (Newell et al, 2011), China (Newell et al, 2009), India (Hasnat, 2021;Majumder, 2021;Singhal et al, 2011), the United Kingdom (Oyedele et al, 2013), or Jordan (Gharaibeh, 2019). Most studies indicate that they offer higher profits and less risk than most liquid asset classes, such as stocks or bonds, but may be outperformed by, for example, private equity (Inderst, 2009).…”

Section: Related Literaturementioning

confidence: 99%

Beyond traditional financial asset classes: The demand for infrastructure in a multi‐period asset allocation framework

et al. 2023

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This paper employs a multi‐asset allocation framework to analyse the short‐term and long‐term desirability of listed infrastructure investments in an investor's portfolio. We employ 14 infrastructure indices encompassing six regions and eight sectors. The asset menu of the investor comprises traditional financial asset classes (stocks, bonds and bills) and infrastructure. We calculate the welfare losses due to ignoring the demand for infrastructure for various levels of risk aversion. In addition, we calculate the portfolio weights across various levels of risk aversion. Our results show that infrastructure is a desirable addition to the portfolio of traditional financial asset classes for both short‐run and long‐run investors.

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“…Two recent studies examine the performance of infrastructure using listed Indian data. While Hasnat ( 2021 ) uses a composite Nifty infra index, Majumder ( 2021 ) uses eight different Nifty thematic indices including energy and infrastructure. Based on standard CAPM and M-GARCH, Hasnat ( 2021 ) finds lower returns and lower volatility for Nifty infra as compared to Nifty 50.…”

Section: Reporting the Findingsmentioning

confidence: 99%

“…No evidence of stable and resilient cash flows is found particularly for smaller firms. Majumder ( 2021 ) find significant return and volatility spillover effects of infrastructure and energy on other thematic sectors. Another Indian study (Singhal et al 2011 ) finds strong risk-adjusted performance of Indian infrastructure relative to global infrastructure, Asia-Pacific infrastructure, global stocks and Indian stocks.…”

Section: Reporting the Findingsmentioning

confidence: 99%

Evolution of infrastructure as an asset class: a systematic literature review and thematic analysis

Gupta

Sharma

2022

J Asset Manag

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Infrastructure as an asset class has emerged as a new field of research stemming from the broader universe of infrastructure investment. Since the advent of the global financial crisis, research activities in this area are constantly strengthening providing the base for a budding research area. Despite much work done, infrastructure investment research with regard to an asset class is still at an early stage and scholarly understanding remains restricted and fragmented. To get a clear understanding of this rather opaque field, and for further advancement of scientific research, we conduct a systematic literature review and thematic analysis of 89 scientific contributions including 71 journal articles, 15 working papers and 3 conference papers published during 1997–2021. Based on a holistic examination of identified articles, we elucidate the current infrastructure investment landscape targeting two major aspects: First, we descriptively analyse the convergence of infrastructure from mere assets to an asset class. Second, we categorize the existing research into four different perspectives: capital market, investment performance, policy and stakeholder and conduct a thematic analysis to unveil major themes and sub-themes under each perspective. Furthermore, the study attempts to suggest various promising future research avenues to encourage further expansion of infrastructure investment as a research field.

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Return and Volatility Spillovers Among the Thematic Indices in India

Cited by 5 publications

References 18 publications

Risk hedging properties of infrastructure: a quantile regression approach

Risk hedging properties of infrastructure: a quantile regression approach

Beyond traditional financial asset classes: The demand for infrastructure in a multi‐period asset allocation framework

Evolution of infrastructure as an asset class: a systematic literature review and thematic analysis

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