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.
Stoyu Ivanov. "Analysis of REITs and REIT ETFs Cointegration during the Flash Crash." Faculty Publications (2013).