This study revisits the issue of REITs market efficiency for the US having discovered two notable gaps. Noting the complexities, structural changes and nonlinearities in modern financial markets, we employ the fractional integration technique which performs better than other commonly used...

Being the health pandemic with the highest impact on the global financial market, the recent COVID-19 pandemic has led to significant risk transmissions across stock markets. Although an increasing number of studies have examined the effects of the pandemic on financial markets, we provide novel...