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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

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  • Mateusz Tomal

    (Department of Real Estate and Investment Economics, Cracow University of Economics, Rakowicka 27, 31-510 Cracow, Poland)

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.

Suggested Citation

  • Mateusz Tomal, 2021. "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," JRFM, MDPI, vol. 14(8), pages 1-8, August.
    • Handle: RePEc:gam:jjrfmx:v:14:y:2021:i:8:p:374-:d:614331
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    References listed on IDEAS

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    Cited by:

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    3. Brzezicka Justyna & Tomal Mateusz, 2023. "Estimation of the Utility Function of Money and Housing Based on the Cumulative Prospect Theory," Real Estate Management and Valuation, Sciendo, vol. 31(3), pages 83-92, September.
    4. Chuanhao Tian & Xintian Peng & Xiang Zhang, 2021. "COVID-19 Pandemic, Urban Resilience and Real Estate Prices: The Experience of Cities in the Yangtze River Delta in China," Land, MDPI, vol. 10(9), pages 1-17, September.
    5. Md. Abdur Rahman Forhad & Gazi Mahabubul Alam & Md. Toabur Rahman, 2023. "Effect of Remittance-Sending Countries’ Type on Financial Development in Recipient Countries: Can the Pandemic Make a Difference?," JRFM, MDPI, vol. 16(4), pages 1-16, April.

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