Research On Herd Behavior Of P2P Lending Market In China

Under the double background that China's long-term financing difficulties in small and medium-sized enterprises and financial constraints,the development of Internet technology timely contributed to the sprouting P2P lending industry.In the past decade,the online loan industry has been booming,accelerating the process of financial support and forcing the reform,of traditional financial institutions.But in the course of development,the risk is gradually exposed,and the problem platforms of 2015 and 2016 have broken out,and there have been various degrees of payment crisis in the industry.The herd behavior in P2P lending market is closely related to risk.Irrational herd behavior can easily cause market turbulence,resulting in low resource allocation efficiency.Therefore,to study the herd behavior of P2P Lending Market in China is particularly urgent.Based on the existing literature,this paper tests the existence and time-varying characteristics of herding behavior in the P2P lending market based on the CCK model and the Markov switching.In addition,considering the fact that the P2P lending market is not an isolated and closed financial system,the spillover effect of herding behavior may exist between the stock market and P2P lending market.So,another purpose in this paper is to explore the flock spillover effect between P2P lending market and the stock market,in order to describe the herding behavior in a complex system of volatility spillover direction and information transmission path,which helps us understand the herd behavior in the market between the two conduction path,to provide reference for the supervision of financial markets.The main work and conclusions of this thesis are as follows:The first part is the analysis of herd behavior in P2P loan market based on Markov-switching.The empirical results from the static and dynamic perspectives show that herd behavior coexists with anti-herd behavior on the online loan market,but anti-herding behavior is more significant.Then Contrasting the different regimes in the dynamic model,it is found that the anti-behavior under the regime of low volatility is more intense,indicating that the deviation of the assets on the P2P-lending market from the beta to the equilibrium is a slow process under controllable and low volatility.The second part analyzes the conditional spillover effect between the net loan market and the stock market.By adding the square of the return rate of each market to the traditional herding behavior test model,it is found that both the high-volatility regime and the low volatility regime have the condition spillover effect from the stock market to the net loan market,whereas the return on the net loan market The square term has a weak influence on the dispersion of the return on the stock market.The third part analyzes the unconditional herd spillover effect between the P2P market and the stock market.The main use of MSIAH(2)-VAR(1)model found that the herd behavior in both markets is not only persistent,but also has the spillover effect of unconditional herd behavior from the stock market to the net loan market.During the market turmoil,the stock market Herd behavior will have a more profound effect on the net loan market.