Asset class return connectedness during the last two global shocks GFC and Covid

Santacruz, Lujer (2021) Asset class return connectedness during the last two global shocks GFC and Covid. In: 2021 Financial Planning Academics Forum, 26 Nov 2021, Brisbane, Australia.

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Abstract

Purpose
The present paper aims to explore the nature of this return connectedness among the asset classes (international equity, Australian equity, property) common among Australian individual investors along with standard safe haven gold during the last two global shocks.

Design/methodology/approach
Weekly price indices are used as proxies for the various asset classes and pairwise correlations are calculated over the various periods.

Findings
Consistent with previous literature, there appears to be more co-movements among the various asset classes during periods of global shocks. This seems to be more pronounced in the case of the Covid pandemic.

Originality/value
The present paper will be a significant contribution to literature as it will also compare the observed patterns between the two global shocks and provide additional insights that will be useful for portfolio managers and investment advisers in managing their diversification strategies during similar situations. It is also in the Australian context so any insights will be directly useful to investors and financial advisers in Australia.


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Item Type: Conference or Workshop Item (Commonwealth Reporting Category E) (Paper)
Refereed: No
Item Status: Live Archive
Additional Information: Virtual conference. (Work in progress presented for comments at the Financial Planning Academics Forum on 26 November 2021).
Faculty/School / Institute/Centre: Current - Faculty of Business, Education, Law and Arts - School of Business (18 Jan 2021 -)
Faculty/School / Institute/Centre: Current - Faculty of Business, Education, Law and Arts - School of Business (18 Jan 2021 -)
Date Deposited: 16 Mar 2022 04:38
Last Modified: 16 Mar 2022 04:48
Uncontrolled Keywords: return connectedness, return co-movement, GFC, Covid
Fields of Research (2008): 15 Commerce, Management, Tourism and Services > 1502 Banking, Finance and Investment > 150205 Investment and Risk Management
Fields of Research (2020): 35 COMMERCE, MANAGEMENT, TOURISM AND SERVICES > 3502 Banking, finance and investment > 350208 Investment and risk management
Socio-Economic Objectives (2008): B Economic Development > 90 Commercial Services and Tourism > 9001 Financial Services > 900102 Investment Services (excl. Superannuation)
Socio-Economic Objectives (2020): 11 COMMERCIAL SERVICES AND TOURISM > 1102 Financial services > 110202 Investment services (excl. superannuation)
URI: http://eprints.usq.edu.au/id/eprint/45604

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