The purpose of this study is to grasp an understanding of the market comovement in terms of REIT returns and to find the asymmetric effects of information that may cause volatility in REIT returns. In order to demonstrate the research findings, an empirical analysis was performed with the use of correlation analysis, VECM, AR(1)-TGARCH (1, 1), AR(1)- EGARCH (1, 1), and AR(1)-GARCH (1, 1). The results of the analysis are as follows. First, the correlation analysis showed that there was a significant positive correlation between REIT returns in the four countries, the U.S., Japan, Singapore, and Hong Kong, which showed that there was comovement mechanism at work between the countries subject to analysis. The correlation between the countries, however, was not that high. Next, with the use of VECM, it was seen that Japan and Singapore had significant impacts on REIT returns in the U.S. throughout the overall period. This verified that the comovement here is not a unilateral, but interactive relationship. The VECM analysis was conducted on the REIT performance in response to the Lehman’s bankruptcy and the result showed that the influence of each country on itself was diminished in terms of REIT returns after the Lehman shock. In AR(1)-TGARCH (1, 1) model, AR(1)-EGARCH (1, 1) model, and AR(1)-GARCH (1, 1) model, Singapore and the U.S. were more predictable in terms of REIT returns compared to Hong Kong and Japan in the overall period. An analysis of asymmetric information showed that in all countries with the exception of Hong Kong, the degree of impact that information has on price volatility is asymmetric and it may be said that information asymmetry in Asian countries is weaker than that of the U.S.