ABSTRACT This paper examines the linkages and transmissions of five Islamic‐real estate investment trusts (I‐REITs) listed on the Kuala Lumpur stock exchange in Malaysia. In general, the five I‐REITs do not co‐move and are not linked. When the price linkage of each I‐REIT is analyzed, however, two of them, KLCC and AME, co‐move. Regarding the transmission of the I‐REITs, only six cases are found out of 20 combinations. The prices of I‐REITs are formed almost independently in the I‐REIT market in Malaysia, which is not a unified market. The prices of KLCC and AME are formed to co‐move, with an influence going from AME to KLCC. The features of properties owned by each I‐REIT vary. When we invest in I‐REITs in Malaysia, we need to be aware of the effects of diversification function.
Takayasu Ito (Sat,) studied this question.