The Assessment Of Chinese REITs' Ability To Deal With The Macroeconomic Risk And The Measurement Of The Risk

Real Estate Investment Trusts(REITs)is an important means of real estate securitization.It originated in the United States,and now it is developing rapidly in the global real estate market.REITs can not only provide new financing channels for real estate industry as well as promote the improvement of the real estate industry,but also reduce the potential risk of commercial banks and real estate industry,at the same time provide investors with an investment tool of relatively small risk and stable income.All the advantages above make real estate investment trust fund become one of the most popular financing tools in the real estate financial markets all over the world in recent years.In this thesis we select this new way of financing as the research topic.However,REITs is still a new kind of investment tool for the mainland of China.Because of the imperfect market system and laws and regulations,the public offering of REITs is still on the road,only a few quasi REITs have been issued.Meanwhile,the Hong Kong market has more mature REITs already issued.Thus this thesis selects REITs listed in the Hong Kong market whose targets are real estate of mainland as the research topic.Up to now,there are four REITs in the Hong Kong stock market whose targets are mainland real estate that are still in duration.They are Yuexiu REITs,Huixian REITs,Kaiyuan Industry Investment Trusts and Chunquan Industry Trust respectively(Ruifu REITs has delisted in 2010).Based on these four Hong Kong REITs whose targets are mainland properties,I constructed a REITs' yield index and I used the vector autoregressive model(VAR)to explore the influence of Chinese macroeconomic market risk on this index.The results of the research show that the influence of macroeconomic market risks on the yield of REITs is small,and only the employment fluctuations has significant influence.Then this thesis used the GARCH-VaR(Value at Risk)method to measure the risk of the REITs index and made the prediction of the REITs' risk.The results show that in the holding period the prediction is effective,which means that the risk of a REITs in the market is basically controllable.Previous researches argued that REITs have good features of risk resistance,thus it is a relatively steady investment and financing tool.Further,the risk value of REITs measured by using the GARCH-VaR method is very stable,and we suggest to use the GARCH-VaR risk measurement methods as the standard riskmeasurement tool in China's real estate investment trust fund industry.At the same time,the managers and investors of REITs need to improve their ability of risk management of REITs and adopt relatively prudent investment and financing strategies in macroeconomic fluctuations.