The mechanism of credit risk contagion among internet P2P lending platforms based on a SEIR model with time-lag

The credit risk contagion of Internet peer-to-peer (P2P) lending platforms is an important part of Internet financial risk management and supervision. This study analyzes the contagion path of credit risk in Internet P2P lending. Based on complex network theory and the theory of infectious disease dynamics, the characteristics of Internet P2P lending development are combined to construct a SEIR model of credit risk transmission among Internet P2P lending platforms with time lag, and the robustness of the model is analyzed and proven. The influence of platform correlations, the susceptible immune rate, the platform elimination rate, contagion latency, the saturation coefficient, and the susceptibility input rate on credit risk contagion behavior among Internet P2P lending platforms is analyzed, using the equilibrium point and threshold value. The impact of each variable is analyzed by simulation. Corresponding countermeasures and suggestions are proposed to prevent and control credit risk contagion among these platforms.     

我国P2P网络借贷信用风险影响因素研究——基于排序选择模型的实证分析

P2P(peer-to-peer)网络借贷是一种借助网络平台,由个人与个人间互为借贷双方的小额借贷交易。它作为互联网与民间借贷相结合的新兴金融模式,具有较高的信用风险。采用排序选择模型,基于 ex-celVBA 数据挖掘技术截取多个 P2P 网站数据,对平台信用风险的影响因素进行实证分析,结果表明：个人特征、信用变量、历史表现、借款信息分别对网络借贷信用风险存在正向影响,由此发现网站提供的信息对投资者避免信用风险没有起到实质作用。     

Characteristics and mechanisms of not-fully marketized interest rates: Evidence from Chinese online lending

Most of the online lending rate are predominately determined by the platform, especially in the Chinese online lending markets, which indicates that the online lending rate is “not-fully marketized”. Based on a sample of 20 representative online lending platforms with daily data during June 1, 2017 to May 31, 2018 collected from Net credit eye and Lingyicaijing, our results, first, show that the average duration of loans, pending balance, newly added investors, and relative repayment amount are all significant factors for online lending rates. Second, from the view of the whole industry, the increase of the new investors also attracts more risk-seeking investors enter into the industry, who have considerable influences on online lending rates. Finally, when considering the credit rating of each individual platform, the explanatory power of the above factors is gradually weakened as the platform rating declines. This interesting finding suggests that the online lending rate of any platform can reasonably reflect its risks if the platforms keep better regulatory compliance. Our results provide theoretical and empirical supports for both regulators and investors.     

“草根”金融P2P信贷模式探究

P2P信贷即网络信贷,具有小额、无担保、快捷、网络化的特点,又被称作"草根"金融模式。P2P信贷模式在全球范围内发展迅猛,迸发出强劲的生命力,近几年我国也相继诞生了上千家P2P信贷平台。通过对P2P信贷模式的运营模式、自身优点和存在的风险进行研究分析,进而提出解决P2P信贷风险的建议。     

P2P网络借贷平台发展趋势分析

P2P网络借贷平台作为互联网金融业态的重要形式,以其不受时间和空间限制的灵活性,低廉的操作成本,越来越得到小微企业和个人贷款用户的青睐,其业务内容已经从早期的借贷信息发布和交易撮合向其它借贷和金融服务范畴发展,其服务形式、交易模式、风险控制方法也不断变化,与银行等金融机构合作逐渐深入,成为传统金融机构的有利补充。本文通过对上海地区P2P网络借贷企业的调研,从P2P业务所面临的问题,其发展过程中存在的消极和积极因素,客户需求和政策影响等内容出发,对P2P平台的发展趋势进行分析。     

公开竞标的贷款定价方式对P2P借贷平台的优化作用

P2P借贷是一种金融创新模式,将互联网技术与民间借贷相结合。互联网信贷的巨大需求推动P2P借贷平台的爆发式发展,而P2P借贷发展核心的两个问题是信用评级和风险定价。由于我国未完全实现利率市场化,P2P平台采用的是量化借款人信息的方式计算贷款利率。信息不对称导致P2P平台的贷款利率不能充分反映借款人风险,同时造成信誉良好的借款人不能获得低成本的贷款。文章利用拍卖机制模型对公开竞标的贷款定价方式进行探究,认为公开竞标方式可以改善信息披露,降低借款人的成本,借款人和投资人在公开竞标的贷款定价方式下都可以获得灵活的选择空间,从而提高借贷成功的比例。     

Credit rationing in P2P lending to SMEs: Do lender-borrower relationships matter?

This paper studies the role of individual P2P investors that are acquainted with the borrower in mitigating credit rationing in P2P lending to SMEs. I use proprietary data provided by one of the biggest Dutch P2P lending platforms, on which personal acquaintances of the borrower are able to invest before other P2P investors do. I find that P2P investors invest more in loans of borrowers to whom they are personally acquainted. More initial investment by investors acquainted with the borrower is subsequently associated with a higher likelihood of obtaining a second loan from the P2P lender, larger investments by other P2P investors and lower ex post defaults. These results are consistent with informal lenders having superior information or monitoring skills and rational herding following informal investors' investment decisions.     

Seeing is important: the usefulness of video information in P2P

P2P lending is an important research subject of rising internet finance research. This paper uses unique data from Renrendai, a leading platform in China, to test the influence of video information on P2P lending behavior. Results suggest that, first, the lower the borrower's credit rating is, the more likely they are to provide video information. Second, compared to the video‐information‐absent borrowers, the otherwise borrowers can get easier access to a loan and offer a lower interest rate. These results indicate that compared to text messages, video information can increase the borrower's creditworthiness and reduce the transaction risk. Thereupon seeing is important in online P2P lending. Third, when the borrower's credit rating is lower, the video effect is significant. The study makes sense in terms of the enrichment of P2P lending literature and the enlightenment on decision‐making of both lenders and borrowers.     

P2P平台的信息不对称问题国外研究综述

信息不对称问题是困扰P2P平台发展的主要问题之一。论文重点梳理了国外学者P2P平台的信息不对称问题的研究以及由信息不对称问题引发的风险,之后针对P2P平台信息不对称问题,论文重点梳理了国外学者针对该问题的解决方案———“集体信贷”模式。最后,论文提出缓解P2P平台解决信息不对称问题的政策建议。     

The Systemic Risk of Cross-Border Banking: Evidence from the Sudden Stop and Interbank Stress Contagion in East Asia

This article investigates the systemic risk of cross-border banking in East Asia. Using the recursive bivariate probit model, we jointly test the probability of the sudden stop in international lending and its simultaneous effect on the host countries’ interbank markets. The empirical results suggest that the risk of a sudden stop is associated with global liquidity shock; host country productivity shock; and the common lender contagion effect. This facilitates the transmission of interbank stress from advanced economies to emerging markets. However, the tension is mitigated by the “flight-home effect” caused by domestic investors’ repatriation. The sudden stop is more likely to occur in countries with lower financial openness but higher financial risk. Lending flows to the banking sectors are more sensitive to shocks than the flows to the non-bank private sectors.     

The influencing factors of satisfaction and lending intention in online lending investment: an empirical study based on the Chinese market

This paper develops a platform‐based influencing factors model which considers value perception, risk prevention measure, non‐default experience, trust and incentive gap, to better examine the impact of platforms on investors’ satisfaction and lending intention based on the Chinese market. The results reveal that the first four factors positively influence the satisfaction of the investors, while the incentive gap has a negative impact, and there is a positive association between investors’ satisfaction and lending intention. Some specific features of China’s online lending market are identified, which provides valuable insights for online lending platforms and the government.     

论加强P2P网络借贷平台的监管

P2P网络借贷,即在网上实现借贷,借入者和借出者均可利用这个网络平台实现借贷的在线交易,一切认证、记账、清算和交割等流程均通过网络完成,满足了人们对资本便利快捷的需求.本文阐述了P2P网络借贷的基本概念、发展情况和积极意义,分析了其业务流程可能引发的风险,认为应将网络借贷纳入监管体系,制定监管原则、模式、内容以及安全与技术指标,引导其健康发展.     

Venture capital certification and customer response: Evidence from P2P lending platforms

This paper examines whether the certification effect of VCs extends to firm's potential customers, and whether, by certifying firms' values to potential customers, VCs provide value to firms. Using weekly trading data from P2P lending platforms in China, we find that the amount of loans facilitated and the number of lenders increase significantly by 25.7% and 49.3%, respectively, immediately after announcements that P2P lending platforms obtain VC investment. We find that this certification effect increases with measures of VC reputation and measures of information asymmetry between P2P lending platforms and potential customers. A difference-in-differences analysis provides consistent results, which are robust after controlling for the effects of news, advertising, and funding. We also document that VC-backed platforms are less likely to default than non-VC-backed platforms. This result provides indirect evidence that VC backing has long-term benefits beyond the news and advertising effects.     

中国式P2P网络借贷的形式与实质

P2P网络借贷的性质认定直接决定了监管体制和具体的监管措施。虽然在美国等国 家,P2P网络借贷被定义为证券发行等金融业务,但在中国,P2P网络借贷却被定义为个人对个 人的直接借贷,属于民间借贷范畴,不被认可为正规的金融业务。然而,经过创新改造之后的 中国大多数P2P网络借贷业务,仅仅在形式上与直接借贷和民间借贷相类似,但在实质上与传 统的民间借贷已经存在非常大的区别。将P2P网络借贷归类为民间借贷,使得监管体制和监管 逻辑存在很多悖论和相互矛盾的地方,值得反思。     

Competition in two‐sided markets

Many markets involve two groups of agents who interact via “platforms,“ where one group's benefit from joining a platform depends on the size of the other group that joins the platform. I present three models of such markets: a monopoly platform; a model of competing platforms where agents join a single platform; and a model of “competitive bottlenecks” where one group joins all platforms. The determinants of equilibrium prices are (i) the magnitude of the cross‐group externalities, (ii) whether fees are levied on a lump‐sum or per‐transaction basis, and (iii) whether agents join one platform or several platforms.     

Decentralization through Tokenization

We examine decentralization of digital platforms through tokenization as an innovation to resolve the conflict between platforms and users. By delegating control to users, tokenization through utility tokens acts as a commitment device that prevents a platform from exploiting users. This commitment comes at the cost of not having an owner with an equity stake who, in conventional platforms, would subsidize participation to maximize the platform's network effect. This trade-off makes utility tokens a more appealing funding scheme than equity for platforms with weak fundamentals. The conflict reappears when nonusers, such as token investors and validators, participate on the platform.     

Government Affiliation and Peer-To-Peer Lending Platforms in China

With thousands of co-existing and competing platforms, the Chinese peer-to-peer (P2P) lending market experienced both high growth and high failure rate. We hand collect unique data for these P2P platforms and investigate the differences in performances and survivals for platforms with and without affiliations with state-owned enterprises (SOEs). P2P platforms with SOE affiliations have higher trading volumes, attract more investors, and offer lower interest rates. These platforms also survive significantly better than those without the SOE affiliations, especially during market downturns. Using P2P platforms with fake SOE affiliations as identification, we show that the SOE affiliation itself (not related to the fundamentals) is an important signal for P2P market participants. These results can be helpful to investors and regulators, especially those from other emerging markets.     

Does sentiment affect stock returns? A meta-analysis across survey-based measures

We are the first to meta-analyze the literature on the relationship between sentiment and stock returns, a topic that reacts to the history of systemic events causing asset bubbles in financial markets. We focus on three questions — whether the literature is biased; what is the “true effect” beyond this bias; and what are the key determinants of the variance among the estimates in the literature. To answer those questions we collect 1311 point estimates from 30 primary studies and use state-of-art meta-analytical approaches. Both linear and non-linear tests for publication bias suggest that the “true effect” of an improvement in sentiment is non-negligible and negative. In the majority of specifications, researchers tend to report this effect as being much stronger than it actually is. Next, using Bayesian model averaging we show that the effect of sentiment on future returns is significantly stronger for individual investors than for large institutions, and in US stock markets compared with European ones. The effect also depends on several data and model characteristics.     

“I just like the stock”: The role of Reddit sentiment in the GameStop share rally

This paper investigates the role played by the social media platform Reddit in the events around the GameStop (GME) share rally in early 2021. In particular, we analyze the impact of discussions on the r/WallStreetBets subreddit on the price dynamics of the American online retailer GameStop. We customize a sentiment analysis dictionary for Reddit platform users based on the Valence Aware Dictionary and Sentiment Reasoner (VADER) sentiment analysis package and perform textual analysis on 10.8 million comments. The analysis of the relationships between Reddit sentiments and 1-, 5-, 10-, and 30-min GameStop returns contribute to the growing body of literature on “meme stocks” and the impact of discussions on investment forums on intraday stock price movements.     

Survival or die: a survival analysis on peer‐to‐peer lending platforms in China

This study examines the probability of survival of online peer‐to‐peer (P2P) lending platforms in China. Our empirical findings show that shareholder's background, platforms’ risk management and institutional environment are three major factors that influence the probability of survival of P2P platforms in China. In addition, the effects of risk control and institutional environment are less pronounced in state‐owned P2P platforms. We also show that platforms that die from abscondence of owners tend to be more short‐lived than others, while platforms that die from liquidity problems are usually due to lack of high‐quality risk management techniques.