Research On The Dependence And Risk Spillover Of Reits And Industry Stock Index

With the emergence of the Chinese stock market and the changing financial situation,the property industry needs to alter the development model.And ctively expanding financing channels to achieve high-quality development.After years of research and exploration,the builders and participants of China ’s Reits market have fully realized that Reits not only help to revitalize the real estate stock market,enrich capital market investment and financing tools,improve the efficiency of capital use,transfer and disperse real estate financial risks,but also provide investors with new channels to participate in real estate investment.China first released standardized Reits in June 2021.As another financial instrument product independent of stocks and bonds,the listing of Reits is undoubtedly a milestone event in China ’s capital market,marking the official opening of the trillion-level Reits market.Although Reits is expected to disperse system risk and allocate resources rationally,its underlying assets have strong interweaving and permeability to the market,and its investment characteristics are destined to have inseparable links with various industries.Therefore,Reits itself also has risks.In addition,throughout the global economic crisis,the volatility of Reits is more intense than that of stock index and real estate index.This is precisely because the risk spillover of Reits and industry stock index will be directly reflected through price and income fluctuations.Research into dependency and risk spillover of Reits on securities and industrial risk is critical to prevention of risk in China’s real estate market.This thesis first combs the relevant theoretical part,including the relationship between Reits and various industries at home and abroad,the widespread use of Copula in dependency measurement,and the risk research of Reits.Then,the optimal Copula function is obtained by selecting the stock indexes of 11 industries in China and the corresponding data of Reits,so as to construct the Copula model.The dynamic dependence of Reits and various industry stock indexes is studied,and the rank correlation coefficient is used to further analyze the dependence change.Finally,based on the dependence research,the VaR of Reits’ own risk is measured first,and then the Copula-CoVaR model is constructed.Research on the Spillover Effect of Reits on industry indicesBased on the upward and downward CoVaR,the tail risk of each industry is accurately measured when Reits is at extreme risk.The conclusions confirm that :(1)Reits and various industry stock indexes do have dynamic dependence characteristics,among which,the dynamic dependence between Reits and information technology industry is more significant and sustainable.(2)There are risk spillover effects in both short positions and long positions,and the intensity is different.The overall upside risk is greater than the downside risk.Among them,the risk spillover effect on the financial industry and information technology industry is the most obvious,which is related to the asset composition of Reits and the financing principle and related policies of the industry.In short,this thesis studies the dependence and risk spillover effects of real estate investment trusts on industry stock indexes,and provides suggestions and references for risk assessment for financial institutions and individual investors in Reits investment.It is of great significance to promote the expansion of standard Reits with real estate as the underlying asset,contribute the real estate monetary system,and improved well-being and health development in the housing market.