This paper analyzes contagion effects on Asian and American real estate investment trust (REIT) markets: Hong Kong, Japan, Singapore, Taiwan and America, when extreme events occur. Based on the concepts of CoVaR and quantile regression, it also estimates the REITs markets' CoVaR and risk spillovers in different quantiles. The empirical results indicate that the VaR of REITs in Asia is lower than CoVaR. In particular, the risk of Taiwan is seriously underestimated. Second, the five REIT markets have contagion effects during extreme events. In Hong Kong, Singapore and Japan, the REIT returns are closely connected because of the contagion effects in these countries.