An Empirical Study Of Spillover Effects Between REITs And Stock Markets

In the international financial market,REITs have become a more mature investment tool,attracting a large number of investors to invest.In contrast,China’s public REITs have only just started,and REITs are still a foreign product for Chinese investors.Domestic research on REITs is still relatively small compared to foreign countries,and the awareness of Chinese investors about the characteristics and potential risks of REITs still needs to be improved.This paper takes the linkage and spillover effects between REITs and the stock market as the entry point to study the REITs market and further reveals the potential risks in the REITs market when systemic shocks occur.Given that public REITs in China have just started and there is insufficient valid evidence,this paper selects the U.S.REITs,which already have a considerable degree of maturity,as the research object,and firstly explains the brief development history of REITs,its advantage as special investment and financing instruments and the operation mechanism of several major types of REITs.The mean spillover effect is studied using the PVAR model,and the volatility spillover effect is studied using the DCC-TGARCH model with asymmetric effects,and the estimation results of the model reveal that there is a significant linkage and spillover effect between the two.After completing the study of the linkage and spillover effects between the two,this paper further investigates the risk spillover effects of the U.S.stock market on the REITs market with the help of the ΔCo Va R model,and finds that the systemic shock caused by the COVID-19 has significantly enhanced the risk spillover effects of the stock market on REITs in all sectors.Based on this,this paper selects the sample of the systemic shock period and uses the CSAD model to identify the herding effect,which is an important factor that can amplify the risk spillover effect.Combining the results of the theoretical analysis and empirical research,this paper makes reasonable suggestions for investors and the future development of REITs in China.For the future development of REITs in China,it is necessary to adhere to the development of infrastructure public REITs as the mainstay,to ensure the transparency of REITs operations,to focus on cultivating medium and long-term investors,to establish a differentiated taxation mechanism for the REITs market to reduce speculative behavior,and to ensure the stable development of the REITs market in China.