Crosscorrelation Analysis between P2P Lending Market and Stock Market in China

Wang, Bin; Ding, Zhonghui; Xiang, Wang; Shi, Kai

doi:10.1155/2020/7134172

Cited by 2 publications

(3 citation statements)

References 28 publications

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“…Here, h x:y (q) is the Hurst index between time series x t and y t , which is calculated according to MF-DCCA. e authors take modulus of the detrended covariance function in MF-DCCA (see [30,32,40] etc.). For such treatment, h y:z (q), h x:y (q), and h xy:z (q) of the crude oil, gold, and U.S. dollar index are not constant, which means that there is a multifractal cross-correlation between the above financial markets.…”

Section: Mf-dpcca Analysismentioning

confidence: 99%

“…en, Zhou developed multifractal detrended cross-correlation analysis (MF-DCCA), which uses a q-order fluctuation function instead of the local trend in DCCA [26,28]. is method has been widely used in the correlation and fractal characteristics of the market in various fields [29][30][31][32][33]. As the complexity of the market increases, the interrelationships between time series are often complicated and do not exist in the form of a single influence.…”

Section: Introductionmentioning

confidence: 99%

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Dollar’s Influence on Crude Oil and Gold Based on MF-DPCCA Method

Ding

Shi

Wang

2021

Discrete Dynamics in Nature and Society

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This paper analyzed the influence of dollar on crude oil and gold based on the multifractal detrended partial cross-correlation analysis method. It showed that affected by the dollar, the crude oil and gold markets have a partial cross-correlation relationship which is stronger than their own cross-correlation. The partial cross-correlation is long-term and has multifractal characteristics. Through shuffled and Fourier-phase randomization, it is found that this multifractal feature is caused by the combined effect of the long-term cross-correlation between the returns and the fluctuation fat-tailed distribution, where the influence of the fat-tailed distribution is slightly greater than that of the long-term cross-correlation between the returns.

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Section: Mf-dpcca Analysismentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Dollar’s Influence on Crude Oil and Gold Based on MF-DPCCA Method

Ding

Shi

Wang

2021

Discrete Dynamics in Nature and Society

Self Cite

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“…However, P2P lending has been increasingly regulated in recent years [3], and most of P2P lending platforms do not possess operational sustainability due to the excessive defaults. By the beginning of 2021, the number of normal operational P2P lending platforms was only six in China, more than 6000 platforms have gone bankrupt, and the transaction volume of the P2P lending has dropped by nearly 80% compared with the peak in 2017 [4]. at is to say, the sustainability issue of the P2P lending industry is becoming a challenge of the P2P lending in China.…”

Section: Introductionmentioning

confidence: 99%

Evolutionary Game Analysis of Three Players on Behavioural Strategy of P2P Lending Participants: A Sustainable Operations Perspective

et al. 2021

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In China, most of peer-to-peer (P2P) lending platforms do not possess operational sustainability due to excessive defaults. To address this problem, the conflict of interests among P2P lending participants is discussed using a stakeholder approach. An evolutionary game model (EGM) of three players is developed to analyse the interactions among regulatory authorities, P2P lending platforms, and borrowers. Then, the asymptotic of the equilibrium and evolutionary stability strategies of the EGM are analysed. Results indicate that either the P2P lending platforms or borrowers will choose “noncompliant operation” or “default” strategies from a short-term perspective, and the strict supervision of the P2P lending platform in the short term is necessary for the sustainable operation of the platform. When supervision is intensified in the early stage and regulatory pressure becomes a normal state, P2P lending platforms and borrowers will actively select “compliant operation” and “repayment” strategies even if there is a lack of regulation in the future. Meanwhile, the behavioural strategies of P2P lending participants can be changed to conform to the sustainability of P2P lending by reducing the costs of strict supervision and increasing the damage caused by general supervision, reward and punishment coefficient for P2P lending platforms, repayment incentives of borrowers, and defaulting opportunity costs. Finally, suggestions for regulating the behaviours of P2P lending participants and promoting sustainability of P2P lending industry are discussed.

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Crosscorrelation Analysis between P2P Lending Market and Stock Market in China

Cited by 2 publications

References 28 publications

Dollar’s Influence on Crude Oil and Gold Based on MF-DPCCA Method

Dollar’s Influence on Crude Oil and Gold Based on MF-DPCCA Method

Evolutionary Game Analysis of Three Players on Behavioural Strategy of P2P Lending Participants: A Sustainable Operations Perspective

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