Risk Measurement Of REITs Market Based On Vine Copula Model

In recent years,with the increasing openness of the global economy,the integration process of the financial environment has accelerated,and the dependence and linkage between the financial markets of various countries(regions) have increased.REITs is an important investment and financing tool in the field of real estate.Once a major emergency occurs,the risk will spread rapidly,which is not conducive to the stability of REITs market and even financial market.At present,China’s REITs market has just started,the market mechanism needs to be improved,and the relevant systems of risk identification and prevention and control are not perfect.Under the background of China’s REITs market sailing in the wind,it is of great significance and value for the construction of China’s REITs market and the construction of investors’ portfolio to study the dependence of major international REITs markets,understand the information and risk transmission between REITs markets,and measure the risk value and Risk Spillover of REITs market.This paper selects the REITs market indexes of 8 major countries(regions)and uses different Copula Functions to describe the dependence between REITs markets and obtain the optimal vine structure.Next,we measure the risk,introduce VaR model,and regard each REITs market as an independent financial market to measure the value at risk;Then measure the risk of REITs index portfolio according to the dependency coefficient of the optimal vine copula,and analyze the causes of risk change.Finally,CoVar model is introduced to study and analyze the Risk Spillover Effect of REITs market.The main conclusions of this paper are as follows:1)When studying the market risk dependence of REITs,the vine copula function is better than the traditional binary copula function.When measuring the risk of REITs index portfolio,the combination of r-vine copula function and VaR model is effective.2)The VaR of the portfolio is obviously less than that of most individual assets.Building the portfolio can effectively reduce the risk.Choosing five or more of the eight assets selected in this paper to build a portfolio can effectively avoid the risk of simultaneous changes in index prices in the portfolio.2)The dependence of international REITs market has obvious geographical agglomeration characteristics.It is mainly the dependent aggregation of Asian REITs market and European and American REITs market.The average dependence of mature markets on foreign markets is high,indicating that the more developed REITs markets in Europe and the United States occupy a prominent position in the international REITs market.3)Most of the major REITs markets have two-way Risk Spillover Effects,and the two-way Risk Spillover Effect between REITs markets with strong dependent structure is also extremely obvious.The degree of market risk spillover is also different.There is a strong risk spillover effect between European and American REITs markets,and the spillover relationship between Asian REITs markets is weaker than that in Europe and America.