Research On Market Risks And Influencing Factors Of REITs Funds

REITs refer to an investment tool that collects funds through trusts,companies,or organizations and invests in real estate projects,which are operated by specialized institutions and distribute the proceeds to investors.In the past,REITs products were mainly invested in the real estate market.It not only has the characteristics of the real estate market,but also can be listed and traded.At the same time,it also provides a way for small and medium investors to invest in real estate.Now REITs products can also be invested in other infrastructure areas.On March 13,2021,the "Fourteenth Five-Year Plan for National Economic and Social Development and the Outline of Long-Term Goals for 2035" officially released by my country on March 13,2021 clearly stated that the development of REITs in the field of infrastructure in my country should be accelerated.On May 31,2021,my country issued 9 public REITs fund products totaling 31.4 billion through the Shanghai and Shenzhen stock exchanges.The market risk of REITs funds may bring losses to investors,and the risk value of REITs funds is an important indicator to characterize and manage their market risks.As of April 30,2021,there is only one REITs fund listed in the Mainland.This article selects a total of 9 REITs funds in the Mainland and Hong Kong markets and uses the VaR-GARCH model to calculate the VaR value of the 9 REITs funds,and then introduces the VEC model analysis the impact of several major macroeconomic variables such as industrial added value,national foreign exchange reserves,CPI,risk-free interest rate,and PPI on the VaR value of REITs funds.The empirical results show that the daily VaR value calculated by each fund is more consistent with the change trend of the actual profit and loss value,and the time-varying sequence VaR value can better reflect the value at risk and the degree of change of each REITs fund;the industrial added value of the macroeconomic variables,The national foreign exchange reserves,CPI,risk-free interest rate,and PPI have reduced the VaR value of Penghua Qianhai Vanke’s REITs.Industrial value-added,CPI,national foreign exchange reserves,risk-free interest rates,and PPI have successively decreased influences on the VaR value of a REITs index in the Hong Kong property sector.Industrial value added has the largest risk impact on the mainland and Hong Kong REITs markets.The purpose is to use the relatively complete REITs products and historical data in the Hong Kong market to provide investors who are interested in REITs funds at this stage in my country with the possibility of quantifying and managing corresponding product market risks and analysis methods used for reference.