Trading in a stock market, Thai Property Fund might share not only characteristics of the underlying real estate asset but also those of stock. Similar to performances of REITs in many countries, such as U.S., Australia, Hong Kong, Singapore, Japan and Taiwan, that of Thai Property Fund is found to be influenced by the stock market effect. The quantitative and qualitative research suggest the significant effect from the market volatility at least in short term with the rationales of asset characteristics and investment decision of the investors. Similar to other findings, high correlation of the Property Fund to the stock market and higher correlation during pessimistic period are also found. Unlike other researches, the stock price speculation on IPO date is found to support the short–term market volatility. Asset reallocation to the asset with higher return and change in required return of the investors are additional findings to support the significant effect of the stock market in short term. However, the rationale for low volatility of the stock market in the long term are consistent to other studies because of similar characteristics to real estate in medium–long term, of income stock rather than growth stock, and long–term investment position of the institutional investors.