REITs draw attention from investors around the world, yet our understanding of the various risks associated with such securities is limited. Using the introduction of Arrowhead, a low-latency high-frequency trading platform, to the Tokyo Stock Exchange and the financial crisis of 2008 as natural experiments, we compare the resilience of REITs and equities in terms of liquidity and volatility. The results indicate that the introduction of Arrowhead improved the quality of the Japanese REIT market but also increased the probability of flash crashes. We also find that although the financial crisis significantly deteriorated overall equity market quality, the Japanese REIT market was resilient. Finally, using a difference-in-differences regression model, we show that the higher transparency and better price discovery of REITs, compared to non-REITS, protected them from the negative effects of the financial crisis and the introduction of Arrowhead. Overall, our analysis shows that REITs are more resilient than non-REITs.

房地产投资信托基金吸引了世界各地投资者的关注，但我们对与此类证券相关的各种风险的理解是有限的。通过将低延迟高频交易平台Arrowhead引入东京证券交易所和2008年金融危机作为自然实验，我们比较了REIT和股票在流动性和波动性方面的弹性。结果表明，Arrowhead的引入提高了日本REIT市场的质量，但同时也增加了闪崩的可能性。我们还发现，尽管金融危机显着恶化了整体股票市场质量，但日本房地产投资信托基金市场具有韧性。最后，使用差异差异回归模型，我们发现与非REITS相比，REIT具有更高的透明度和更好的价格发现能力，保护他们免受金融危机和引入箭头的负面影响。总体而言，我们的分析表明，房地产投资信托基金比非房地产投资信托基金更具弹性。