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

doi:10.16381/j.cnki.issn1003-207x.2019.0823

中国管理科学 ›› 2021, Vol. 29 ›› Issue (4): 82-92.doi: 10.16381/j.cnki.issn1003-207x.2019.0823

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

朱鹏飞^1,2, 唐勇^1,2,3, 洪晓梅¹, 卢团团¹

1. 福州大学经济与管理学院, 福建福州 350116;
2. 金融数学福建省高校重点实验室(莆田学院), 福建莆田 351100;
3. 福建省金融科技创新重点实验室, 福建福州 350116

收稿日期:2019-06-08 修回日期:2019-09-30 发布日期:2021-04-25
通讯作者: 唐勇(1970-),男(汉族),江苏淮安人,福州大学经济与管理学院,教授,博士,研究方向:风险管理,E-mail:tangyong2018@126.com. E-mail:tangyong2018@126.com
基金资助:
国家自然科学基金资助项目（71171056，71573042，71473039）；福建省社科规划重大项目（FJ2017Z006）；福建省社科规划项目（FJ2020B120）；福建省自然科学基金项目（2017J01518）；金融数学福建省高校重点实验室（莆田学院）开放课题（JR201804）

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

ZHU Peng-fei^1,2, TANG Yong^1,2,3, HONG Xiao-mei¹, LU Tuan-tuan¹

1. School of Economics and Management, Fuzhou University, Fuzhou 350116, China;
2. Key Laboratory of Financial Mathematics(Putian University), Putian 351100, China;
3. Fujian Provincial Key Laboratory of Finance and Technology Innovation, Fuzhou 350116, China

Received:2019-06-08 Revised:2019-09-30 Published:2021-04-25

摘要/Abstract

摘要： 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。

关键词: P2P网贷利率, 多分形波动率, 极大重叠离散小波方法, 时-频域溢出指数

Abstract: Nowadays, the online P2P lending market has become an important part of Chinese financial market system. Therefore, the research about P2P 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 P2P 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.

Key words: P2P lending Interest rate, multifractal volatility, MODWT, time-frequency domains spillover index

中图分类号:

F830

朱鹏飞, 唐勇, 洪晓梅, 卢团团. 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[J]. 中国管理科学, 2021, 29(4): 82-92.

ZHU Peng-fei, TANG Yong, HONG Xiao-mei, LU Tuan-tuan. Does the P2P Lending Interest Rate Have Volatility Spillovers?——An Empirical Study Based on Time-frequency Domains Spillover Index[J]. Chinese Journal of Management Science, 2021, 29(4): 82-92.

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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

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