In contrast to most of the existing literature that has concentrated empirically on the relationship between real estate investment trust (REIT) prices and the stock market, this paper directly models the effects of stock jumps on REIT returns associated with an alternative dynamic process. Three key features of the model are that it decomposes the impacts of stock jumps into two parts (the effect of jumps in the expected returns of REITs, and the influence of jumps in REIT volatility); it can efficiently describe the effect of stock returns on REITs according to Christoffersen’s independence test during pre- and postcrisis periods; and the empirical results show that the magnitudes of jumps in expected returns and volatility are sensitive to the value-at-risk of REITs. Therefore, the effects of stock returns on expected returns and volatility of REITs cannot be neglected.