||The popularity of REIT in both the developed and emerging markets of the world attests to the significance of REIT in world’s economies and investment choices. The relative ease with which investors can indirectly invest in real property is transforming portfolio asset allocation. While the place of REIT in a mixed asset portfolio is of interest to investors, it is equally important for investors to know the cross market dynamics of the REIT markets so that they can make informed investment decisions especially with regard to diversifying their portfolios. Therefore, this paper examines the diversification benefits from investing in the sampled REIT markets of US, Canada, Belgium, South Africa, New Zealand, Australia, Hong Kong, Japan, South Korea, Malaysia and Singapore from 1987 to 2006. The focus is on the diversification benefits from extending Singapore REIT portfolio into the sampled REIT markets. Co-integration methodology is used to analyze both long and short term dynamics of the sampled markets. This is followed by F-test to ascertain the statistical significance of any improvement in performance resulting from extending a Singapore REIT portfolio into the REIT markets. The results show that Singapore REIT market is not co-integrated, in the long term, with any of the REIT markets except Canada. Furthermore there is no evidence of Granger causality between Singapore and the other markets (except Japan) over the short term. These findings imply apparent diversification benefits from extending Singapore REIT portfolio into the sampled REIT markets. The diversification benefits are found to be statistically significant.