Propelled by attractive dividend yields and the real estate market recovery, the five-year-old J-REIT market has grown impressively in terms of market capitalization and number of listings. Meanwhile, J-REIT index funds have gained prominence as major investors. Generally, when index funds attain an excessive market share, adverse effects can arise in the form of abnormal returns and inefficiency. We confirmed the existence of abnormal returns and observed possible signs of reduced efficiency in the J-REIT market.