We investigate market efficiency for Real Estate Investment Trusts (REITs) that are traded in the Korean stock market. The Korean REITs market has a history of more than 15 years; it is believed that the market has a big potential of growth and REITs can play role of an investment vehicle that induces investment capital into real estate markets. Market efficiency for REITs can be critical because in an efficient market, investors can achieve normal returns and they can not achieve more than

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... e average-returns. Using daily market prices for four REITs stocks from 2012 and 2015, we test weak form of efficient market hypothesis. The methodologies for our empirical evidence include an ARIMA (Autoregressive Integrated Moving Average) model and both time-invariant and time-varying GARCH-M (Generalized AutoRegressive Conditional Heteroscedasticiy in Mean) Models. Our unique contribution to the literature is that with GARCH-M models our empirical evidence rejects the null hypothesis that Korean REIT stocks are efficient. We suggest that new REIT polices take account of the empirical evidence. 주 제 어: 리츠시장, 시장 효율성, GARCH-M모형 key word: REITs Market, Market Efficiency, GARCH-M Model 부동산학연구 제22집 제2호, 2016. 6, pp. 29~40 http://dx.