The comovement of equity markets is of crucial importance for portfolio diversification and risk management. In this study, we utilise the wavelet analysis to examine the comovement among international securitised real estate markets as well as the cross‐market comovement between the stock and...

This paper revisits the Real Estate Investment Trust (REIT) long-memory literature and addresses two important research questions: one, whether the observed long memory in REIT volatility is genuine or spurious (that is, caused by structural changes); and, two, a related one -- whether the long...