Crosscorrelation Analysis between P2P Lending Market and Stock Market in China

Bin Wang, Zhonghui Ding, Xiang Wang and Kai Shi

Mathematical Problems in Engineering, 2020, vol. 2020, 1-9

Abstract:

We first use the Hurst index and the statistic to study the respective characteristics of the P2P lending market and the stock market by rescaled range analysis. In terms of fluctuations, there is an antipersistence in the P2P lending market and long-term persistence in the stock market. Then, we studied the crosscorrelation between the daily logarithmic return series of P2P lending market and stock market and found that the crosscorrelation was multifractal and antipersistent.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:7134172

DOI: 10.1155/2020/7134172

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