Crosscorrelation Analysis between P2P Lending Market and Stock Market in China

الملخص EN

We first use the Hurst index and the Vn 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.