The U.S. QE and Volatility Spillover Effects among the U.S. and Asia-Pacific Real Estate Markets: Evidence from REIT ETFs

This paper addresses linkages among the U.S., Australia, Japan, and China real estate markets in the case of REIT(real estate investment trusts) ETF(exchange traded funds)s during 2010-2015 in which the U.S. Federal Reserve implemented the monetary stimulus, so-called quantitative easing (QE). The purpose of this study assesses the impact of the U.S. QE on Australia, Japan, and China's real estate markets. The results show that, despite locality of real estate markets, U.S. REIT ETF has volatility spillover effects on Asia-Pacific REIT ETFs. During the U.S. QE period in which led to low interest rate across the world, the U.S. and Australia, Japan, China real estate markets are closely related in terms of volatility spillover.