Moderation and increased after 2001. Using a novel dataset of all property transactions in Sweden over the 2009-2017 period, we …

This paper aims to investigate the impact of various COVID-19 pandemic waves on real estate stock returns and their … 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 …

, in the context of US stock indexes, by detecting clusters of extreme returns using return and volatility thresholds based … on an algorithm suggested in Laurini. Design/methodology/approach – The daily returns and conditional volatilities … across DJIA, S&P 500 and NASDAQ composite. Findings – It is found that the correlation positive extreme returns within …

over 2,000 listed firms in China. The paper examines both the pattern of state ownership and the dynamics of stock returns … Shanghai and Shenzhen stock markets and using panel estimation techniques examine the dynamics of returns, volatility and their … in 2001. In examining the behaviour of stock returns the authors find evidence of daily and monthly autocorrelations that …

decompositions of unexpected stock returns. The evidence proves robust and consistently indicates intensified equity market linkage …

This study investigates the volatility in daily stock returns for Total Nigeria Plc using nine variants of GARCH models … backtesting. We use daily data for Total Nigeria Plc returns for the period January 2, 2001 to May 8, 2017, and conclude that … to converge; the mean reverting number of days for returns differed from model to model. From the analysis of VaR and its …