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

Paper

Santacruz, Lujer. 2021. "Asset class return connectedness during the last two global shocks GFC and Covid." 2021 Financial Planning Academics Forum. Brisbane, Australia 26 Nov 2021
Paper/Presentation Title

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

Presentation TypePaper
Authors
AuthorSantacruz, Lujer
Number of Pages9
Year2021
Conference/Event2021 Financial Planning Academics Forum
Event Details
2021 Financial Planning Academics Forum
Delivery
Online
Event Date
26 Nov 2021
Event Location
Brisbane, Australia
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.

Keywordsreturn connectedness, return co-movement, GFC, Covid
ANZSRC Field of Research 2020350208. Investment and risk management
Public Notes

(Work in progress presented for comments at the Financial Planning Academics Forum on 26 November 2021).

Byline AffiliationsSchool of Business
Institution of OriginUniversity of Southern Queensland
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