REITs are known as an alternative investment products that pursue medium-risk medium-return. In particular, listed REITs have the advantage of being easily tradable by individual investors in the stock market unlike other alternative investment products primarily focused on private investments. Korean listed REITs index is calculated using data over the past 10 years to analyze the relationship between financial variables by dividing the period before and after the activation of listed REITs. The analysis utilizes the REIT index, KOSPI index, government bond futures index, and US dollar futures index returns as variables, examining the interrelationships among these variables using a Vector Error Correction(VEC) model for each period. Furthermore, the study constructs portfolios including the REIT index, subdividing the periods into interest rate rise and fall, and compares the portfolio performance using the Sharpe ratio. Our results indicate that the stock market and foreign exchange market had a significant negative impact on the REIT index, while the influence of the bond market is found to be insignificant. In addition, it is found that the influence of stock, bond, and foreign exchange market returns on the REIT index returns decrease after the activation of listed REITs. The Sharpe ratio of portfolios including the REIT index is higher after the activation of listed REITs and particularly higher during interest rate decline periods. This study has significance in understanding the relationship between Korean listed REITs and financial variables through empirical analysis and finding evidence that constructing portfolios including listed REITs and maximizing portfolio effects is possible depending on market conditions. It also provides useful information to investors, fund managers, or policymakers, as listed REITs can be an important factor contributing to investment performance when constructing diversified asset portfolios.