Research On The Strategy Of The Construction Of China's REITs Market Efficiency

The efficiency of REITs market reflects the strength of the function of optimizing the allocation of capital resources,which is related to the operation efficiency of the whole market and the long-term development of underlying property.From the market demand,the maturity of the real estate industry and the progress of preparation,China has reached a critical moment to focus on the development of the C-REITs market.Among them,how to establish an efficient C-REITs market should be the proper meaning.Therefore,the research on market efficiency of REITs is an important subject with both practical and theoretical significance.Firstly,based on the characteristics of REITs market,this paper analyses the shortcomings of testing the efficiency of REITs market based on efficient market theory,and the applicability of testing the efficiency of REITs market based on fractal market theory.Then,the REITs markets of the United States,Britain,Australia,Japan,Singapore and Hong Kong,China,are selected as research samples,and the REITs market price indices of different regions from January 26,2012 to December 31,2018 are extracted.This paper takes advantage of the modified Shannon entropy in the Symbolic Time Series Analysis(STSA)to conduct empirical tests to compare the relative level of the REITs market efficiency of different regions horizontally.The revised time-varying Shannon entropy is used to describe the trend of efficiency to excavate the development direction and law of REITs market efficiency in different regions.At the same time,the robustness test is carried out by Hurst index and R/S analysis method.In this way,this paper not only verifies the feasibility of fractal market theory and method in testing the efficiency of REITs market,but also systematically studies the efficiency of major global REITs markets.Empirical research finds that:(1)REITs markets in sample areas are not efficient markets,but on the whole,the REITs markets in Europe and America are closer to efficient markets than those in Asia-Pacific,and the REITs market in the United States is the most efficient while the efficiency of REITs markets in the UK,Japan,Australia,Singapore and Hong Kong(China)decreases successively;(2)The efficiency of REITs market in the United States,UK and Singapore has been steadily improved over time,but the efficiency of REITs market in Singapore is far from that of the former two.The efficiency of the REITs market in UK has also been improved after a major shock,while the efficiency of REITs market in Australia and Hong Kong(China),has no significant regularity.At the same time,based on the fractal market theory,this paper considers that the differences in market size,liquidity,product diversity,information transparency and regulatory strength are the reasons for the differences in market efficiency of REITs in sample areas.On the basis of empirical test and cause analysis,this paper combines the characteristics of REITs market such as the United States,and provides specific countermeasures and suggestions on how to promote the construction of China's CREITs market effectiveness in the future.We should use symbolic time series analysis method which is based on fractal market theory,and construct modified Shannon entropy and time-varying Shannon entropy sequence to evaluate and test the efficiency of C-REITs market.We should establish a C-REITs market with large market scale,high liquidity and rich product types as far as possible,give full play to the important role of industry infrastructure to improve the transparency of information,and conduct moderate supervision taking into account risks and freedoms to ensure the smooth and effective operation of the C-REITs market.