volatility in developed (US, Australia), emerging (Turkey, Poland), and frontier (Morocco, Jordan) markets. A study using a GJR … waves. Furthermore, in the aftermath of the pandemic development, an increase in the volatility of stock returns can be …

interrelationship among the assets. The results indicate that Real Estate Investment Trusts (REITs) and oil are sources of volatility … transmission, whereas sukuk is a recipient of volatility within the network. Examining the net pairwise directional linkages of two … assets, namely REITs and oil markets, reveals that they transfer their volatility to the sukuk market. Moreover, a reciprocal …

respect to both returns and volatility. We also find evidence supportive of Hong and Stein's (2003) Investor Heterogeneity …

-in-mean model and examine the effects of idiosyncratic volatility and aggregate market volatility on asset returns. There are four … key findings. First, momentum returns display asymmetric volatility. Momentum returns in REITs are higher when volatility … aggregate market volatility, with the magnitude of the relationship is larger for losers than for winners …