Evidence of contagion in global REITs investment

This study examines evidence of contagion in global REITs returns over 2006–2010 using daily REITs indices for 16 countries. We apply a correlation coefficient analysis to determine whether between-country REITs return co-movements increase significantly following a crisis. We use an extreme value analysis based on semiparametric and nonparametric estimators to measure global REITs returns with univariate country-specific value-at-risks and multivariate between-country contagion. Applying the iterated cumulative sums of squares to test the timing of market panics, we find significant evidence of contagion in global REITs returns worldwide during the 2007–2009 global financial crisis.