•A less similar integration process is taking place in the global REIT markets.•Local stock market is a major source of REITs’ volatility connectedness shocks.•REITs’ volatility connectedness effects are crisis-sensitive.•Key macroeconomic factors of REITs’ volatility connectedness are identified. Using a sample of ten real estate investment trusts (REITs) from July 2004 to June 2017, we find a less similar integration process is taking place in the global REIT markets. The local stock market is a major source of REITs’ volatility connectedness shocks in 80 percent of time. Moreover, the REITs’ volatility connectedness effects are crisis-sensitive and decline more quickly than stocks when the crises went off. Finally, we remind investors to pay attention to economic policy uncertainty, interest rate movements, implied volatility and world stock market returns on REITs’ volatility connectivity over time.