中国新金融业态风险传染典型事实及特征的实证研究

TYPICAL FACTS AND FEATURES OF CONTAGION IN CHINA’S NEW FINANCIAL INDUSTRY

本文根据从网络借贷市场搜集的718家正常平台和129家问题平台数据分析典型风险传染事件发生前后市场资金变化情况,构建模型从月度、周度两个维度研究新金融业态风险传染的特征。结果发现:风险更显著地传染至大规模、人均投资金额低的平台。风险传染期内,平台规模越大,对交易量变化的负向作用越大;平台人均投资金额越高,平台与投资人的联系越紧密,对交易量变化的正向作用越大。随着时间的推移,平台规模与人均投资金额对平台交易量变化的影响程度逐渐减弱。风险传染期间,问题平台与正常平台在危机后的交易量存在较为显著的差异,市场资金流向呈现出一定的替代效应。

Based on the data of 718normal platforms and 129risky platforms collected from the P2P market,this paper analyses the changes of market funds before and after the occurrence of a typical risk contagion event and constructs a model to study the features of risk contagion in new financial industry from monthly and weekly dimensions.This paper finds that the risk is more significantly transmitted to platforms with larger scales and lower investment per capita.During the period of risk contagion,the larger the scale of the platform is,the greater the negative effect on the transaction volume will be.The higher the per capita investment amount of the platform is,and the closer the relationship between the platform and investors is,the greater the positive effect on the volume change will be.As time goes on,the impact of the scale and the amount of investment per capita on the change of the trading volume of the platform weakens.During the period of risk contagion,there is a significant difference in the post-crisis transaction volume between risky platforms and normal platforms.In addition,the flow of capital in the market presents a certain substitution effect.