Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258478 
Authors: 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 14 [Issue:] 8 [Article No.:] 374 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-9
Publisher: 
MDPI, Basel
Abstract: 
This paper aims to investigate the impact of various COVID-19 pandemic waves on real estate stock returns and their volatility in developed (US, Australia), emerging (Turkey, Poland), and frontier (Morocco, Jordan) markets. A study using a GJR-GARCHX model revealed that the pandemic outbreak had a limited impact on real estate company stocks. The first pandemic wave only in the US caused a decline in stock returns. In turn, this was the case in Poland and Jordan during the second and third waves. Furthermore, in the aftermath of the pandemic development, an increase in the volatility of stock returns can be observed in the Polish financial market. However, this effect mainly applies to the period of the first disease wave.
Subjects: 
volatility
COVID-19
real estate
GJR-GARCHX
stock returns
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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