网贷市场利率与成交量关系研究——基于不同监管时期数据的实证分析

doi:10.16381/j.cnki.issn1003-207x.2019.07.004

Abstract

Abstract: The relationship between volume and price is the key to understand the complexity of financial markets. With the coming of period of comprehensive and strict supervision on Internet finance, is there some significant change on the volume-price relationship of the online P2P market compared with the previous loose supervision period? The average comprehensive interest rate and total trading volume of P2P market are taken as the research object in this paper, where data of loose supervision period is selected from 2015-5-13 to 2016-10-12 and strict supervision period is selected from 2016-10-13 to 2018-1-3. Based on fractal perspective, the DCCA coefficient, DCCA based on time delay and MF-DCCA methods are adopted in this paper to investigate the evolution and complexity of the relationship between trading volume and interest rate in online P2P Market. During the investigation, there is a comparison on the correlation level, conduction direction and multi-fractal characteristics of the volume-price relationship in the online P2P market during the two periods of loose and strict supervision. The empirical results show that, first, there is a multi-time scale cross-correlation between interest rate and volume in both two periods, and different from the gradually decaying correlation during the loose supervision period, the volume and price on each scale of the strict supervision period always show a high correlation level. Second, during the loose supervision period, the transaction volume and interest rate alternately dominate the volume-price transmission process, while the volume of the strict supervision period always dominates the transmission process. Finally, compared to the loose supervision period, the cross risk between the interest rate and the volume of the online P2P market during the strict supervision period is significantly reduced, but the improvement in the effectiveness level is not significant. A new perspective for online P2P market regulators is provided to gain insight into the micro-market structure and broadens the discussion scope of the complexity of the online P2P market.

Key words: internet lending, internet rate and volume, cross-correlation, transmission direction, risk, efficiency

CLC Number:

F832.51

TANG Yong, ZHU Peng-fei. The Research on the Relationship between the Interest Rate And Volume in the P2P Lending Market——An Empirical Analysis Based on Data in Different Regulatory Periods[J]. Chinese Journal of Management Science, 2019, 27(7): 35-45.

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The Research on the Relationship between the Interest Rate And Volume in the P2P Lending Market——An Empirical Analysis Based on Data in Different Regulatory Periods

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