摘要：AbstractWe contribute to the literature on the integration of stock markets by examining the linkages between South African REIT (SA REIT) and 10 of the world's most developed REITs, from Europe, Asia, North America, and Oceania. Patterns of market co-movement are analysed using the wavelet coherence measure in the time-frequency domains. The results indicate that patterns of linkages are not uniform across the pool of the geographical market pairings, rather they show varied unique patterns for specific pairs of markets. Generally, for all the regional block pairs with South Africa, diverse directional linkages amidst significant stretches of medium to few large-size coherence zones spread across lower frequencies but dissipate to weakly scattered smaller-size coherencies at intermediate and short-run periods. The US largely leads South Africa which can be attributed to the difference in the share of the global REIT index. However, South Africa leads Australia and New Zealand. Given that South Africa is smaller than Australia but bigger than New Zealand, the findings suggest that the size of the REIT market plays a little role as compared to the magnitude of the difference in size. Such low levels of coherencies could be explored for diversification gains at the respective frequencies while being mindful of the specific combinations. Although not well-integrated with global REITs, we surmised that SA REIT is far from being an isolated market. Further, no evidence of contagion was found in the markets post-Brexit since we observe no discernible long stretches of high-frequency coherencies after June 2016.
