An International Perspective of Volatility Spillover Effect: The Case of REITs

We study the 1999-2011 period for volatility spillover between US and European real estate markets. The sample period is divided into pre-crisis (1999-2007) and post-crisis (2007-2011) periods. Real estate investment is proxied by the performance of equity REITs, private real estate indices and real estate firms. We document an asymmetric volatility spillover effect from U.S. markets to European markets. The primary result is the finding of volatility transmission from U.S. real estate markets to European real estate markets emanating from public U.S. real estate investment (S&P REIT index). However, there is no strong evidence that European markets spill over to U.S. real estate markets for either public or private real estate.