Sentiment towards the Chinese real estate sector has deteriorated following the introduction of financing constraints in 2020 with the ''three red lines." Forcing developers to restructure their debt, the policy triggered a cascade of financing troubles, defaults, and reduced housing demand, ultimately culminating in a prolonged real estate crisis. This paper utilizes a network approach in line with Demirer et al. (2018) and Diebold and Yilmaz (2014) to measure daily time-varying connectedness in the stock return volatilities of major Chinese real estate developers throughout the crisis. Focusing on spillover between companies as reflected by market perception, this paper examines how connectedness evolves over time across firms with different regional exposures and state-ownership statuses, filling a gap in the literature to elucidate where property demand and real estate firm trustworthiness have deteriorated most. An event-study analysis of four key moments of the crisis outlines distinct phases of market sentiment: with the introduction of the three red lines, connectedness primarily reflects shared exposure and a uniform shock to the market. Then, the early unrest surrounding Evergrande exposes strong regional differentiation, with firms concentrated in less developed regions receiving significant spillover. By one year into the crisis, previously stable regions receive higher levels of spillover, and there is evidence of a substitution effect towards private developers. Two years into the crisis, the market has much less homogeneity in effects across regions and state-ownership status: major shocks induce minimal network changes, reflecting how investors have already priced in their beliefs. This paper also offers one of the most extensive timelines of the Chinese real estate crisis to date, and a new R package, GephiForR, was created for the network visualization in this paper.

翻译：自2020年“三条红线”融资约束政策出台以来，市场对中国房地产行业的情绪持续恶化。该政策迫使开发商进行债务重组，引发了一系列融资困境、违约事件和住房需求下降，最终导致了一场旷日持久的房地产危机。本文采用与Demirer等人（2018）及Diebold和Yilmaz（2014）相一致的网络分析方法，测度了危机期间中国主要房地产开发商股票收益波动率的日度时变关联性。通过聚焦市场认知所反映的公司间溢出效应，本文研究了具有不同区域敞口和国有产权属性的企业之间的关联性如何随时间演变，填补了现有文献的空白，以阐明房地产需求和房地产企业可信度在何处恶化最为严重。针对危机中四个关键时点的案例研究分析，勾勒出市场情绪的不同阶段：在“三条红线”政策推出时，关联性主要反映了市场的共同敞口和统一冲击。随后，围绕恒大的早期动荡暴露出强烈的区域分化，集中在欠发达地区的企业承受了显著的溢出效应。危机爆发一年后，此前稳定的区域开始承受更高水平的溢出，并有证据显示存在向民营开发商的替代效应。危机进入两年时，不同区域和国有产权属性之间的市场效应同质性大幅降低：重大冲击仅引发极小的网络变化，这反映出投资者的信念已充分反映在资产定价中。本文还提供了迄今为止最详尽的中国房地产危机时间线之一，并为文中的网络可视化创建了一个新的R软件包——GephiForR。