A coaxial cable and method of construction thereof are provided. The coaxial cable includes an elongate central conductive member; a dielectric insulative layer encasing the central conductive member; an outer protective sheath, and a braided EMI shield layer including hybrid yarn sandwiched between the dielectric insulative layer and the outer protective sheath. The hybrid yarn includes an elongate nonconductive filament and an elongate continuous conductive wire filament. The wire filament is interlaced in electrical communication with itself or other wire filaments along a length of the EMI shield layer to provide protection to the central conductive member against at least one of EMI, RFI or ESD. The method includes providing a central conductive member; forming a dielectric insulative layer surrounding the central conductive member; braiding an EMI shield layer including hybrid yarn about the insulative layer, and forming an outer protective sheath about the braided EMI shield layer.