Do Traditional Real Estate ETFs Increase the Volatility of REITs?

We examine the impact of the introduction of traditional, non-U.S., real estate exchange traded funds (ETFs) on the realized volatility of real estate ETFs' component stocks in a global setting. We first estimate the volatilities of the individual constituent stocks and then test for breakpoints and jumps. Analyses are conducted separately across each ETF and its underlying securities and jointly over the securities and their attributes. Under a comprehensive, robust approach that properly pulls the securities and their attributes together and includes new statistical tests that can be applied across the literature, present findings suggest that the initiation of traditional, non-U.S., real estate ETFs across global markets only modestly impacts the attributes of the ETFs' underlying component securities. The overwhelming consensus derived from studies of non-Real Estate Investment Trust (REIT) stocks that ETF launches impact the volatilities of the underlying securities of the ETF portfolio is not supported for REIT ETFs and their constituent stocks.