Abstract of thesis titled “Dynamic Relationships among Real Estate Investment Trusts, the Stock Market, and the Interest Rates: the Case of Hong Kong”, submitted by Tian Anqi (M-B15602-1) for the degree of Master of Social Sciences at the University of Macau in June 2013. This study investigates the dynamic relationship among Hong Kong real estate investments trusts (REITs), the Hong Kong stock index, and China’s interest rates. The first three Hong Kong REITs (HKREITs) to be listed on the stock exchange --- the Link REIT, the Prosperity REIT, and the Yuexiu REIT --- are used to represent HKREITs with different investment strategies. The Shanghai interbank offered rate (SHIBOR) and repo rate1 (REPO) are used to represent China’s interest rates. The sample data contains weekly data for the period of November 25, 2005, to December 31, 2012. Results indicate that two structural break points exist for all data series that coincide with the same events from the world financial crisis. Vector auto-regression analysis suggests that there is a long-term co-integrating relationship and a short-term Granger causal relationship between each of the three individual REITs and the Hong Kong stock index. Lastly, China’s interest rates have a different short-term causal impact on HKREITs depending on each REIT’s market capitalization scale ore business type.