Abstract:
In this paper, we investigate the time-varying interconnectedness of international Real
Estate Investment Trusts (REITs) markets using daily REIT prices in twelve major REIT countries
since the Global Financial Crisis. We construct dynamic total, net total and net pairwise return and
volatility connectedness measures to better understand systemic risk and the transmission of shocks
across REIT markets. Our findings show that that REIT market interdependence is dynamic and
increases significantly during times of heightened uncertainty, including the COVID-19 pandemic.
We also find that the US REIT market along with major European REITs are generally sources
of shocks to Asian-Pacific REIT markets. Furthermore, US REITs appear to dominate European
REITs. These findings highlight that portfolio diversification opportunities decline during times of
market uncertainty.
