Chang, Guang-Di; Chen, Chia-Shih - In: International Review of Economics & Finance 31 (2014) C, pp. 148-158
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...
