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  

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

作　　者：唐勇 朱鹏飞 TANG Yong;ZHU Peng-fei(School of Economics & Management, Fuzhou University, Fuzhou 350116, China;Key Laboratory of Financial Mathematics (Putian University) , Putian 351100, China;Fujian Provincial Key Laboratory of Finance and Technology Innovation, Fuzhou 350116, China)

机构地区：[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

出　　处：《中国管理科学》2019年第7期35-45,共11页Chinese Journal of Management Science

基　　金：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);福建省自然科学基金资助项目(2017J01518);金融数学福建省高校重点实验室(莆田学院)开放课题(JR201804)

摘　　要：在互联网金融迎来全面监管的时代背景下,基于不同监管时期网贷市场综合利率和成交量数据,利用分形研究方法,讨论网贷市场利率与成交量关系的演变和复杂性问题。实证结果表明:无论哪个时期利率与成交量之间都存在着多时间标度的交叉相关性,与宽监管期相关性水平逐步衰减不同,严监管期各个标度上量价呈现出较高的相关性水平;宽监管期成交量和利率交替主导量价传导过程,而严监管期成交量完全占据主导者地位;较宽监管期而言,在严监管期网贷市场利率与成交量之间的的风险明显降低,但有效性水平改善并不显著。上述研究为网贷市场监管者提供了一个洞察微观市场结构的全新视角,拓宽了网贷市场复杂性讨论的范畴。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

关 键 词：网络借贷 量价 交叉相关性 传导方向 风险 有效性 

分 类 号：F832.51[经济管理—金融学]