P2P网贷利率存在波动溢出吗?——基于时-频域溢出指数的实证研究

Does the P2P Lending Interest Rate Have Volatility Spillovers?——An Empirical Study Based on Time-frequency Domains Spillover Index

本文基于小波视角,采用多分形波动率,构建时-频域溢出指数刻画市场间复杂性,借以研究网贷市场在不同时间尺度上的波动溢出问题,并利用行为金融学和长尾理论解释异常现象,结果表明:(1)网贷市场与其他市场均存在双向溢出,且随着时间尺度从短期向长期推移,溢出强度不断上升,其中网贷市场与Shibor溢出效应最为显著。(2)总体上网贷市场主要是处于被动接受地位,但在部分短期尺度上能够主导跨市场传染过程。(3)网贷市场与其他市场间显著溢出主要集中在网贷问题频发时期。(4)在股市和债市低迷时期,网贷市场能够主导彼此间的溢出。稳健性检验佐证了以上结论。

Nowadays,the online P2P lending market has become an important part of Chinese financial market system.Therefore,the research about P2 P market should base on the Chinese financial market system,rather than limit to the Internet lending market itself.Are there any volatility spillovers among online P2P lending market and traditional financial markets?If so,do volatility spillovers have difference across time scales?Considering the above-mentioned problems,based on wavelet perspective,the multifractal volatility is adopted to construct a time-frequency domains spillover index,with a view to clarifying the volatility spillover problem among P2 P market and traditional financial markets.In addition,the behavioral finance and long tail theories are applied to explain complex phenomenon.The data of P2P lending interest rate is collected from First Internet Lending website,while other data of stock,Shibor and bond is separately collected from Wind website,Shanghai Interbank Offered Rate website and China bond information website.The empirical results indicate that there are two-way spillover effects among online lending market and the other markets,with the spillover strengths enhancing as time goes by.The spillover effect between P2P and Shibor is the most significant.Furthermore,although the P2P market is mainly in the position of passive acceptance,it can dominate the cross-market contagion process in some short-term scales.In addition,the spillover effects among Internet lending market and other markets are significant during the period of frequent occurrence of Internet lending problems.Finally,during a downturn of stock and bond markets,the Internet lending market can dominate the spillover process.Robustness results verify the above conclusions.A new perspective is provided for P2P market regulators and investors to gain insight into the macro-market structure,in the meanwhile,broadens the discussion on the complexity and risk management of the online P2P lending market.