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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.

journal of risk and financial management

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