P2P网贷双轨制定价模式下收益率波动研究——来自拍拍贷的经验证据

财经论丛 ›› 2018, Vol. 34 ›› Issue (12): 38-46.

P2P网贷双轨制定价模式下收益率波动研究——来自拍拍贷的经验证据

李周平¹,韩景倜²,郭晓爽³

1.上海商学院信息与计算机学院,上海 201400;
2.上海财经大学实验中心,上海 200433;
3.上海理工大学中英国际学院,上海 200031

收稿日期:2017-11-06 出版日期:2018-12-10 发布日期:2018-12-05
作者简介:李周平(1981-),男,四川广元人,上海商学院信息与计算机学院讲师,博士;韩景倜(1959-),男,陕西西安人,上海财经大学实验中心教授,博士生导师;郭晓爽(1982-),女,山东济南人,上海理工大学中英国际学院讲师。
基金资助:
国家自然科学基金资助项目(61374177);上海高校青年教师培养资助计划项目(沪教委〔2016〕22号);上海商学院上商学者(启明星)资助项目(14KY-PQMX03)

Research on the Yield Rate Fluctuation of P2P Lending Based on Double-track Pricing——Evidence from Paipaidai

LI Zhouping¹, HAN Jingti², GUO Xiaoshuang³

1. School of Information & Computer, Shanghai Business School, Shanghai 201400, China;
2. Laboratory Center of SUFE, Shanghai University of Finance and Economics, Shanghai 200433, China;
3. The Sino-British College, University of Shanghai for Science and Technology, Shanghai 200031, China

Received:2017-11-06 Online:2018-12-10 Published:2018-12-05

摘要/Abstract

摘要：

基于拍拍贷平台的网贷交易数据,采用GARCH类模型分析了平台定价与市场定价两种利率定价模式下,投资人的实际收益率之间及其与投资人风险偏好之间的波动溢出效应。研究结果表明:(1)两种定价模式下投资人的收益率均具有明显的波动聚集性,平台集中定价下收益率波动不具有杠杆效应,而市场定价下收益率波动具有与传统金融市场不同的“放大利好,缩小利空”的反杠杆特征;(2)两种定价模式下的投资人实际收益率具有明显的双向波动溢出效应,网贷平台可通过平台定价产品的收益率波动有效引导市场定价产品的收益率的波动;(3)受投资人信息处理能力的限制,反映投资人风险偏好的预期收益率对两种定价模式下的实际收益率波动并不敏感。

关键词: P2P网贷, 双轨制定价, 收益率波动, 波动溢出效应, GARCH模型

Abstract:

Based on paipaidai's transaction data, We use GARCH model to analyze the volatility spillover effect between two kinds of real yield rate fluctuation and risk appetite (expected yield) of investors in both patterns of platform centralized pricing and market pricing. The results show that: (1) Both of the yield rate fluctuation in two pricing patterns have obvious clustering, and the yield rate of platform pricing doesn't have leverage feature, but market pricing shows the reverse leverage features which enlarge bull and reduce bear. (2) There're obviously bidirectional volatility spillover effect between the two kinds of real yield. P2P Lending platform can guide the yield priced by market through adjusting the yield priced by platform, which explained the validity of double-track pricing system in P2P lending. (3) Because of the weak ability of dealing with rich information, the expected yield indicating risk appetite of investors is insensitive to fluctuation of two kinds of real yield .

Key words: P2P Lending, Double-track Pricing System, Yield Rate Fluctuation, Volatility Spillover Effect, GARCH Model

中图分类号:

F830.9

李周平,韩景倜,郭晓爽. P2P网贷双轨制定价模式下收益率波动研究——来自拍拍贷的经验证据[J]. 财经论丛, 2018, 34(12): 38-46.

LI Zhouping, HAN Jingti, GUO Xiaoshuang. Research on the Yield Rate Fluctuation of P2P Lending Based on Double-track Pricing——Evidence from Paipaidai[J]. , 2018, 34(12): 38-46.

参考文献

[1] 庄雷,周勤,王飞. 利率市场化、干中学效应与网络借贷效率[J]. 金融经济学研究,2015,(5): 3-15.
[2] 陈虹,马永健. P2P网贷行业利率定价模式研究[J]. 当代财经,2016,(5):45-56.
[3] 廖理,吉霖,张伟强. 借贷市场能准确识别学历的价值吗?——来自P2P平台的经验证据[J]. 金融研究,2015,(3):146-159.
[4] Barasinska N., Schafer D. Is Crowdfunding Different? Evidence on the Relation between Gender and Funding Success from a German Peer-to-Peer Lending Platform[J]. German Economic Review, 2014, 15(4):436-452.
[5] 廖理,吉霖,张伟强. 语言可信吗？借贷市场上语言的作用——来自P2P平台的证据[J]. 清华大学学报(自然科学版),2015,(4): 413-421.
[6] Herzenstein M., Sonenshein S., Dholakia U. M. Tell Me a Good Story and I may Lend You Money: the Role of Narratives in Peer-to-Peer Lending Decisions[J]. Journal of Marketing Research, 2011, 48(SPL):S138-S149.
[7] Pope D. G., Sydnor J. R. What's in a Picture? Evidence of Discrimination from Prosper.com[J]. Journal of Human Rescources, 2011, 46(1): 53-92.
[8] Lin M., Prabhala N., Viswanathan R. Judging Borrowers by the Company They Keep: Friendship Networks and Information Asymmetry in Online Peer-to-Peer Lending[J]. Management Science, 2013, 59(1):17-35.
[9] Freedman S., Jin G. Z. The Signaling Value of Online Social Networks: Lessons from Peer-to-Peer Lending[Z]. NBER Working Paper, 2014.
[10] Berkovich E.Search and Herding Effects in Peer-to-peer Lending: Evidence from Prosper.com[J]. Annals of Finance,2011,7(3):389-405.
[11] Puro L., Teich J. E., Wallenius H.,et al. Bidding Strategies for Real-life Small Loan Auctions[J]. Decision Support Systems,2011,51(1):31-41.
[12] 彭承亮,何启志. P2P网络借贷市场利率风险测度研究[J]. 兰州财经大学学报,2016,(6):62-69.
[13] 陈霄,叶德珠. 中国P2P网络借贷利率波动研究[J]. 国际金融研究,2016,(1):83-96.
[14] 何启志,彭明生. 基于互联网金融的网贷利率特征研究[J]. 金融研究,2016,(10): 95-110.
[15] 阮素梅,何浩然. 中国P2P网贷收益率波动及其溢出效应研究[J]. 经济问题,2016,(12):42-46.
[16] 钱金保. 货币政策在民间借贷市场有效性研究[J]. 南方经济,2015,(11):53-69.
[17] 周耿, 范从来. 货币政策对 P2P 网贷市场利率的影响研究[J]. 中央财经大学学报, 2016,(6):29-38.
[18] Freedman S., Jin G. Z. Learning by Doing with Asymmetric Information: Evidence from Prosper.Com [Z]. NBER Working Pape, 2011.
[19] Engle R. F. Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation [J]. Econometrica, 1982,50(4):987-1008.
[20] Nelson D. B. Conditional Heteroskedasticity In Asset Returns: A New Approach [J]. Econometrica , 1991,(59):347-370.
[21] Engle R. F., Kroner K. F. Multivariate Simultaneous Generalize ARCH[J]. Econometric Theory, 1995,(11):122-150.
[22] 聂淑媛. 经济时间序列中差分的历史研究[J]. 科学技术哲学研究,2012,(1): 70-75.