P2P借贷市场与股票市场间的溢出机制:中国股市2015年异常波动期间的证据

Spillover Mechanism between P2P-Lending Markets and Stock Markets: Evidence during China’s 2015 Stock Market Anomalous Fluctuation’s Periods

本文认为,P2P借贷市场与股票市场之间存在两类溢出联动机制,即替代效应机制和互补效应机制。替代效应指的是P2P投资者资金配置导致两个市场行情呈现负相关;互补效应指的是P2P借款者杠杆融资导致两个市场行情正相关。在此基础上,本文利用事件分析法,量化研究了股市异常波动时期市场间溢出的具体表现。从P2P市场对股市溢出来看,P2P市场是拉动股市大幅上涨的重要资金渠道,但没有证据表明P2P市场是造成股市大幅下跌的直接原因。从股市对P2P市场溢出来看,股市大幅上涨对P2P市场的影响较弱,但股市大幅下跌会对P2P市场行情产生显著影响。上述现象均可由替代效应机制或互补效应机制进行解释,且这两类机制在不同股市周期和股票板块之间具有较大的异质性。

This paper proposes two spillover mechanisms between P2P-lending market and stock market, i.e. substitution effect and complementary effect, and employs an event analysis approach to quantify these two mechanisms during the anomalously volatile period of Chinese stock market. The former mechanism indicates negative correlations between two markets under capital allocations of P2P-lenders, while the latter tells the positive relations due to the leveraged financing accounts of P2 Pborrowers.There are three contributions of this paper that can be summarized as follows. First, this paper studies the dynamic spillovers between the P2P-lending market and stock market from the perspective of capital flow and transactions between two types of market participants, which provides a micro-based foundation for the previous literature. Second, this paper uses an event analysis method to avoid the strict requirements on large sample periods of traditional spillover methodologies. Third, this paper identifies the substitution and complementary effect mechanisms, and separates stock markets into different sizes or industry sectors to explore the heterogeneous spillover channels between P2P-lending behavior and stock market volatility.Empirically, this paper finds three features of spillover between two markets. First, P2P-lending market drives the sharp rise of stock market, but it is not the direct reason for the fall. Second, huge increase of stock price has weak influence on P2P-lending market while the dramatic decrease has the significant impact. Third, when in bull market, the influence of P2P-lending market on stock market comes after the shape rise of the stock returns, however the temporary fall makes no differences. As for the bear market, a deep slide in stock price may still cause serious spillovers to P2P-lending market while P2P-lending market also shows a stronger effect on the rebound of the stock market. Besides, heterogeneities of those two mechanisms are found to exist among stocks of different sizes or industrial sectors.