Infrastructure investment is essential for economic development for both developed and developing economies. We analyze the short-term return behavior and portfolio characteristics of the global, regional, and selected Asian countries' infrastructure indexes during the pandemic over the sample period 3 July 2018 to 1 July 2021. According to the multivariate Glosten, Jagannathan, and Runkle (GJR) Generalized Autoregressive Conditional Heteroscedasticity (GARCH) with dynamic conditional

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... n (DCC) model, infrastructure assets are very heterogeneous depending on the corresponding asset classes. Empirical evidence suggests that infrastructure can be treated as a separate asset sub-class within conventional financial assets. Moreover, we quantify the co-movements between returns on various listed infrastructure indexes and major asset classes, including equity, commodity, currency, and bond index returns. We find that infrastructure assets offer hedging potential against the USD index and USD denominated assets.