Modelling the Impact of Different COVID-19 Pandemic Waves on Real Estate Stock Returns and Their Volatility Using a GJR-GARCHX Approach: An International Perspective
نویسندگان
چکیده
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), frontier (Morocco, Jordan) markets. A study using a GJR-GARCHX model revealed that outbreak had limited company stocks. The first wave only US caused decline returns. In turn, this was case Poland Jordan during second third waves. Furthermore, aftermath development, an increase can be observed Polish financial market. However, effect mainly applies period disease wave.
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ژورنال
عنوان ژورنال: Journal of risk and financial management
سال: 2021
ISSN: ['1911-8074', '1911-8066']
DOI: https://doi.org/10.3390/jrfm14080374