Abstract
Within the context of market integration, this paper explores the frequency connectedness of volatilities across 14 international REIT markets over the last ten years. Following Barunik and Krehlik (2018), we determine whether the REIT volatility connectedness results from short-, medium- or long-term impacts of shocks can reveal the underlying frequency sources of volatility connectedness. We also identify the systematic risk source that the US REIT market played an influential role for volatility connectedness across global REITs. Our results are valuable for policy maker to guide the future development and consolidation of younger REIT markets over time.
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