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