Domestic Real Estate Investment Trusts(REITs)Market Risk Analysis And Risk Measurement

Along with the rapid development of China's economy,the real estate industry has encountered many severe tests in the development process.How to promote the healthy development of the real estate industry has become the focus of government departments and scholars.REITs,as an innovative financial product,can solve the problem of financing difficulties of real estate enterprises on the one hand,and provide opportunities for market investors to participate in real estate investment.This is of great significance for promoting the development of China's real estate industry and national economy.This paper studies the origin and development of REITs and classfies to study the historical development of the REITs in American and Asian countries and regions in the world,and studies the current situation of the development of the domestic similar REITs in detail,based on the experience of the foreign REITs development to put forward some opinions on the development of domestic REITs.Finally,the "mainland index" of REITs is compiled by ourselves through the REITs of four property assets in the Hong Kong market in mainland China.A vector autoregressive model(VAR model)was established to analyze the macro factors affecting REITs' returns,and it was found that mature REITs operating on the market were less affected by macro economic factors.Then VaR was established to measure the risk value of REITs.It was found that using GARCH-VaR model to measure the risk value of REITs is better and can measure the market risk of REITs relatively smoothly.The innovation of this paper is mainly to prepare the mainland index of REITs originally,and choose domestic real estate prosperity index,Shanghai real estate index and Hang Seng real estate index to represent real estate property.