公募REITs市场与股市、债市波动溢出效应研究

Research on China Infrastructure Public Offering REITs and Stock Market Volatility Spillover

摘要: 2021年6月，我国首批9支公募REITs产品正式公开发售，标志着公募REITs时代的开启，但其波动溢出效应还具有未知性以及复杂性。基于此，本文首先基于格兰杰因果检验对REITs市场与股市、债市之间的因果关系进行检验，再运用VAR-BEKK-GARCH模型衡量REITs市场与股票市场、债券市场之间的波动溢出效应，并得出结论：REITs市场对股票市场存在单向的格兰杰因果关系以及波动溢出效应。债券市场对REITs市场存在单向格兰杰因果关系以及波动溢出效应。

Abstract: In June 2021, China officially launched its first batch of 9 public offering REITs products, marking the beginning of the era of public offering REITs. However, the spillover effects and complexities of these REITs remain unknown. Therefore, this paper first examines the causal relationship between the REITs market and the stock market, as well as the bond market, using Granger causality tests. Then, the VAR-BEKK-GARCH model is employed to measure the volatility spillover effects between the REITs market and the stock market, as well as the bond market. The conclusion drawn from the analysis is that there exists a unidirectional Granger causal relationship and volatility spillover effects from the REITs market to the stock market. Additionally, there is a unidirectional Granger relationship and volatility spillover effects from the bond market to the REITs market.