Author(s)

Yingran Zhao ¹

Affiliation(s)

¹ University of Chinese Academy of Social Sciences, Beijing, 102400, China

Corresponding Author

ABSTRACT

China's real estate trust business started in 2002, and has experienced four stages: germination, stagnation, pilot operation and practical development. In the financial market, the stock market will directly reflect the macroeconomic factors represented by monetary policy, external financial market, interest rate and exchange rate, and have an impact on REITs through the secondary market. With the development of China's domestic REITs market, to evaluate the risk impact of the REITs market more accurately and form a stable risk early warning and prevention mechanism is quite important. This paper expounds the basic connotation and main characteristics of real estate investment trust, through the TVP-VAR model, analysis of the mainland REITs influenced by the stock market, it is concluded that the domestic stock market responds directly to the domestic and international monetary policy, and through the stock market to REITs market, and the effect time is mainly short-term, but the impact effect is more obvious.

KEYWORDS

CITE THIS PAPER

Yingran Zhao, Study on the Impact of Stock Market Performance on REITs Market in China. Financial Engineering and Risk Management (2023) Vol. 6: 71-78. DOI: http://dx.doi.org/10.23977/ferm.2023.060111.

REFERENCES

[1] Chang M-S, Salin V, Jin Y. Diversification effect of real estate investment trusts: Comparing copula functions with kernel methods [J]. Journal of Property Research, 2011, 28(3):189-212.
[2] Deng X, Ong S E. Real Earnings Management, Liquidity Risk and REITs SEO Dynamics [J]. Journal of Real Estate Finance & Economics. 2018, 56(3), 410–442.  
[3] Peterson J D, Hsieh C H. Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs? [J]. Real Estate Economics, 1997, 25(2):321.
[4] Swanson Z, Theis J, Casey K M. REIT risk premium sensitivity and interest rates [J]. Journal of Real Estate Finance and Economics, 2002, 24(3), 319-330.
[5] Chiang Y H, Chun K J, Tang B S. Time-varying performance of four Asia-Pacific REITs [J]. Journal of Property Investment & Finance, 2008, 26(3), 210–231.
[6] Tsai M S, Chiang S J, Lin C H. A study of REITs in the Asia-Pacific area: volatility characters and their long-term relationship with stock indices [J]. Applied Financial Economics, 2010, 20(17):1397-1400.
[7] Larson S J. Real Estate Investment Trusts and Stock Price Reversals [J]. Journal of Real Estate Finance and Economics, 2005, 30(1), 81–88.

Sponsors, Associates, and Links

• Information Systems and Economics
  
  
• Accounting, Auditing and Finance
  
  
• Industrial Engineering and Innovation Management
  
  
• Tourism Management and Technology Economy
  
  
• Journal of Computational and Financial Econometrics
  
  
• Accounting and Corporate Management
  
  
• Social Security and Administration Management
  
  
• Population, Resources & Environmental Economics
  
  
• Statistics & Quantitative Economics
  
  
• Agricultural & Forestry Economics and Management
  
  
• Social Medicine and Health Management
  
  
• Land Resource Management
  
  
• Information, Library and Archival Science
  
  
• Journal of Human Resource Development
  
  
• Manufacturing and Service Operations Management
  
  
• Operational Research and Cybernetics