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.