Research On The Market Risk Analysis And Measurement Of Real Estate Investment Trusts In China

The real estate manufacturing has a gigantic requirement for capital,but its barren fluidity and long turnaround period make many real estate construction projects and enterprises face the dilemma of difficult financing.In this context,the emergence of Real Estate Investment Trusts has provided a new financing model for real estate projects and enterprises,which has greatly ensured the healthy development of the real estate industry.Real Estate Investment Trusts first appeared in the U.S.,and later appeared and developed in Japan,Canada,Australia,Hong Kong of China and any other countries and regions.China has also been exploring and practicing Real Estate Investment Trusts,from the initial "real estate investment certificates" to "Real Estate Investment Trusts" and then to "public Real Estate Investment Trusts" in the infrastructure sector.As of January 2022,11 infrastructure public Real Estate Investment Trusts have been launched in China’s market(referring to SSE and SZSE),with an issue size of about RMB 36.423 billion.As a financial innovation product put into practice in China in recent years,public Real Estate Investment Trusts in the infrastructure sector have not been measured and studied in terms of market risk.Therefore,the idea of this paper is:firstly,by sorting out the relevant studies on REITs at home and abroad and elaborating and defining the concepts of public REITs and market risk.Combining theoretical and empirical analysis,the GARCH-VaR model is adopted to do risk measurement and empirical research on the market risk of infrastructure Real Estate Investment Trusts in China.In the specific empirical study,the comprehensive return series of the selected fund samples to construct index funds are first empirically tested,and it is found that the return series of China’s infrastructure Real Estate Investment Trusts selected in this paper have good smoothness and autocorrelation and heteroskedasticity,a suitable GARCH model is constructed to fit the return series of China’s infrastructure Real Estate Investment Trusts,and the fitting effect of different GARCH models is compared.The AR(2)-GARCH(1,1)model is chosen to compare the fitting effect of AR(2)-GARCH(1,1)model under different distributions,and it is found that the t-distribution can better fit the return series of China’s infrastructure Real Estate Investment Trusts.Also the fitting effect of the t-distribution is confirmed in the fitting under different distributions of AR(2)-EGARCH(1,1)and AR(2)-TGARCH(1,1)and captures the asymmetric information: good news has a greater impact on the return of China’s infrastructure Real Estate Investment Trusts than bad news.Finally,based on the above GARCH model family fit,the best-fitting t-distribution takes VaR to measure market risk and concludes that the return on China’s infrastructure REITs has a very low probability of loss over the value at risk and is back-tested.Market risk measurement is the effective elimination,avoidance and transfer of market risk is to establish the basis of science,the main purpose of the above study is to better identify and measure the market risk of infrastructure REITs to facilitate further market risk management.The market risk study of China’s public infrastructure REITs fills the gap in the empirical study of market risk of China’s public Real Estate Investment Trusts,and also provides experience and reference significance for the management of market risk of China’s Real Estate Investment Trusts.