In this study the “disintegration hypothesis” is tested. It is examined whether the Vanguard Real Estate Investment Trust and iShares Dow Jones US Real Estate Index Fund exchange traded funds disintegrate from their underlying indexes during the recent financial crisis. Failure to support the “disintegration hypothesis” of the exchange traded fund and underlying index is found. It is also found that the Vanguard Real Estate Investment Trust exchange traded fund is consistently cointegrated with its underlying index the MSCI US REITs Index, before, during and after the financial crisis. It is also found that the iShares Dow Jones US Real Estate Index Fund before the financial crisis is not cointegrated with its underlying index, the Dow Jones U.S. Real Estate Index; whereas during and after the crisis the exchange traded fund and index are cointegrated. Additionally, it is documented that the tracking error of these two exchange traded funds increases and becomes more volatile during the financial crisis relative to the before and after crisis period.
Stoyu Ivanov. "REIT ETFs Performance During the Financial Crisis." Faculty Publications (2012).