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This article studies extreme risk spillovers among international Real Estate Investment Trust (REIT) markets. We apply the procedure of Granger causality in risk to six major markets. Our full-sample (1991�2010) results suggest that strong risk spillovers, which could be unidirectional or bidirectional, are not universal across markets. Moreover, downside spillovers are found generally more common and stronger than upside spillovers. Further analyses based on three subsamples indicate that risk spillover has become more frequent and stronger over time. This adds onto the evidence of increasing financial integration. Taken together, our findings have important implications for international portfolio diversification and risk management.
