waves. Furthermore, in the aftermath of the pandemic development, an increase in the volatility of stock returns can be …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 …

significant value effect exists, while no small-size effect is present. Real estate equity returns vary significantly with the … excess market return and a pan-European value factor. Moreover, returns are driven by a systematic size factor, although this …

returns and increased volatility on the UK stock market. …

The aim of this study is to assess the response of the South African stock market returns to oil price volatility … show evidence of an asymmetric impact of fluctuations in oil prices on South African stock market returns, using a copula … EGARCH process is the best univariate model to capture oil price volatility. Interestingly, this study also revealed that the …

This study investigated the impact of investor sentiment impact on sectoral returns and their volatility on the … to consider the impact of market-wide investor sentiment on volatility and returns. … heteroscedasticity models. Overall, findings showed a negative relationship between prevailing sentiment and subsequent returns and a …

different lexica sentiment variables. These are employed for an analysis of stock reactions: volatility, volume and returns. An … increased (negative) sentiment will influence volatility as well as volume. This influence is contingent on the lexical … produce stock reaction indicators, including volatility, detrended log trading volume and return? (ii) To which degree is …