We study the relation between REIT stock volatility and future returns, focusing particularly on the financial crisis period of 2007-2009. There is ongoing debate about whether stock volatility can forecast future returns. Our findings suggest that REIT implied volatility is negatively related...

This study analyzes the stock returns and volatility of the global water industry in different (full, pre-GFC, GFC and post-GFC) periods. The study estimates ARMA (1, 1)-GARCH (1, 1) and EGARCH (1, 1) models on the World Water index (WOWAX), S-Network Global Water Index (S-Net), S&P Global Water...

This paper examines the macroeconomic determinants of volatility of commodity futures. The focus of this paper is on two emerging commodity markets, China and India. It covers commodity futures from different sectors, including agricultural commodity futures, metal futures and oil futures. The...