A plenty of studies have contributed to the body of knowledge on the performance of real estate investment trusts (REITs). Many of them have attempted to examine the inter-temporal relationship between REITs and property stocks using time domain techniques such as regression, cross-correlation, causality and co-integration techniques. Yet, almost all these studies focus on private real estate. In December 2005, the first REIT comprising commercial real estate (retail facilities and car parking spaces) from the public domain came up to the market in Hong Kong. This public REIT, the Link, forms the subject of this study which is aimed to investigate the performance of public REIT. It is anticipated that public REIT performs more or less the same as other stocks of utility companies because both are heavily reliant of income generation rather than capital gains, which are subject to certain institutional constraints regarding their investment strategy. Overall, the findings from this paper are supportive of the proposition that public REIT return index are linked strongly with utility stock return index, although weak link is also found between REIT return and property stock return. However, the public REIT has just been launched for less than 2 years, when more information about the performance of public REIT is available as the market of REITs becomes more and more mature, the REIT-utility-property linkage may change.