Lesame, KeagileBouri, ElieGabauer, DavidGupta, Rangan2022-02-222022-02-222021-08-14Lesame, K.; Bouri, E.; Gabauer, D.; Gupta, R. On the Dynamics of International Real-Estate-Investment Trust-Propagation Mechanisms: Evidence from Time-Varying Return and Volatility Connectedness Measures. Entropy 2021, 23, 1048. https://DOI.org/10.3390/e23081048.1099-4300 (online)10.3390/e23081048http://hdl.handle.net/2263/84142In 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.en© 2021 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license.Dynamic connectednessReal estate investment trust (REIT)Time-varying parameter vector autoregressive (TVP-VAR)Article