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JOURNAL OF ACCOUNTING AND FINANCE
Analysis of REITs and REIT ETFs Cointegration during the Flash Crash
Author(s): Stoyu I. Ivanov
Citation: Stoyu I. Ivanov, (2013) "Analysis of REITs and REIT ETFs Cointegration during the Flash Crash," Journal of Accounting and Finance, Vol. 13, Iss. 4, pp. 74 - 81
Article Type: Research paper
Publisher: North American Business Press
Abstract:
In this study I revisit the “disintegration hypothesis” of financial assets around a major crisis event. I
examine whether the Vanguard Real Estate Investment Trust and iShares Dow Jones US Real Estate
Index Fund exchange traded funds disintegrate from the ten largest Real Estate Investment Trusts during
the 14:45 Flash Crash on May 6, 2010. I find that six of the ten largest REITs are not cointegrated with
the Vanguard Real Estate Investment Trust prior to the Flash Crash and that five of the ten largest REITs
are not cointegrated with iShares Dow Jones US Real Estate Index Fund prior to the Flash Crash. After
the Flash Crash all REITs are cointegrated with the two REIT ETFs. This clearly refutes the
“disintegration hypothesis” of REITs and REIT ETFs.
