We study the relation between REIT stock volatility and future returns, focusing particularly on the financial crisis … that REIT implied volatility is negatively related to contemporaneous stock returns; there is a significant positive … relationship between REIT implied volatility and future stock volatility; and there is a significant negative relation between REIT …

In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …