摘要
Purpose: The purpose of this paper is to analyze whether a convergent behavior exists in the price indexes of the seven Asian Real Estate Investment Trust (REIT) markets. Design/methodology/approach: The authors investigate the convergent behavior in Asian REIT indexes against Japan and the USA by conducting the unit-root testing procedure. Findings: Results show that the Asian REIT markets are more connected with the US REIT market than with that of Japan. The convergent behavior was more obvious since 2007. Practical implications: The underlying assets of real estate securities in different countries are usually not directly related; hence, there should be segmentation to a certain extent between international REIT markets as well. If the performances of Asian REIT markets are converged, this linkage can be viewed as a contagion effect. Originality/value: The results of this paper indicate that the risk of REITs might be underestimated and the benefit that investors may acquire from adding REITs to their portfolios might be overestimated. © Emerald Group Publishing Limited.