Like a moth to a flame: Do stock market bubbles exacerbate credit risks of peer‐to‐peer lending?

Xin Liu, Xiaoran Ni, Zhigang Qiu, Wang Xiang, Kailun Zhang
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Abstract

We establish a causal link between stock market bubbles and credit risks from peer‐to‐peer lending. Employing a fuzzy regression discontinuity design based on retail investors' disproportional increase in stock market participation when the Shanghai Stock Exchange composite index exceeds 3500, we find that both the default rate and the degree of delinquency rise disproportionately for loans borrowed above the 3500 threshold. This effect is more pronounced among loans of lower quality and when borrowers are more overconfident and less risk averse. Overall, our results suggest that FinTech developments could amplify financial risks and induce contagion across markets.
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飞蛾扑火股市泡沫会加剧点对点借贷的信贷风险吗?
我们建立了股市泡沫与点对点借贷信用风险之间的因果联系。我们根据散户投资者在上海证券交易所综合指数超过 3500 点时对股市参与度的不成比例增长,采用模糊回归不连续设计,发现高于 3500 点临界值的借款的违约率和拖欠程度都不成比例地上升。在贷款质量较低、借款人过于自信且风险规避能力较弱的情况下,这种影响更为明显。总体而言,我们的研究结果表明,金融科技的发展可能会放大金融风险,诱发跨市场传染。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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