P2P网络借贷市场对资本市场的风险溢出效应

构建Copula-GARCH模型,并利用2013—2016年中国P2P网络借贷市场、股票市场和债券市场的日收益率数据,实证研究了P2P网络借贷市场对资本市场的风险溢出效应。结果显示:P2P网络借贷市场与股票市场之间存在"跷跷板"效应,与债券市场之间呈现出较弱的联动效应;P2P网络借贷市场与股票市场和债券市场的上、下尾部相关性均很弱,风险溢出效应不显著。结论表明:在确保金融系统稳定的同时,中国可以适度发展P2P网络借贷行业。

Risk Spillover Effect of P2P Lending Market on Capital Markets

Based on the daily return data from China's P2P lending market,stock market and bond market during the period of 2013-2016,this paper empirically studies the risk spillover effects of P2P lending market on capital markets by the Copula-GARCH models.The result shows as follows:there exists a "see-saw" effect between P2P lending market and stock market,while there is a weak linkage effect between P2P lending market and bond market;the dependence of upper and lower tail is very weak between P2P lending market and these two markets,and the risk spillover effect of P2P lending market on capital markets is not significant.Conclusions show that it is appropriate to develop P2P lending industry while ensuring the stability of financial system in China.