Are U.S. REITs Capable to invoke shocks in foreign REITs markets?

In this paper we examine the relationship between the U.S. REITS returns with the European and Asian REITS in a financial contagion framework. We employ Bivariate GARCH-BEKK parametric model and GARCH-Dynamic Conditional Correlation model to analyze the flow of return, shocks and volatility spillover from U.S. to other REITs market in the backdrop of recent financial crisis. The data employed is based on well identified structural breaks from Markov Regime Switching Model. Overall, the results indicate strong bidirectional linkages between the U.S. REIT and the European and Asian REIT markets, both in terms of return and volatility