Market Integration Among the US and Asian Real Estate Investment Trusts in Crisis Times

Kim Hiang Liow*, Jeongseop Song

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    3 Citations (Scopus)


    The market integration of real estate investment trusts (REITs) in the US
    and four Asian markets as well as between their local stock and REIT
    markets are investigated in this paper. Using a number of modern
    econometric techniques on three integration indictors/proxies: timevarying conditional correlations, dynamic risk connectivity (variancecovariance) and cause and effect dependency of linear /nonlinear spillover and connectedness, we find that the five REIT markets show less integration than their corresponding stock markets. Moreover, the modelling of the portfolio risk spillover and connectedness (with covariance) shows a higher average level of market integration for the Asian REIT group. The REIT markets have experienced some
    significant shifts in their net total and net-pairwise directional risk
    connectivity. Additionally, investors and policymakers are reminded that
    any modelling of the cause and effect dependency of the REIT markets
    should be implemented with linear regression equations and a nonlinear
    value at risk system in risk spillover and connectedness (with
    covariance). Finally, significant contagious effects are identified across
    the REIT markets and stock and REIT portfolios during the global
    financial crisis and China stock market crash.
    Original languageEnglish
    Pages (from-to)463-512
    JournalInternational Real Estate Review
    Issue number4
    Publication statusPublished - 2019


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