Herding behaviour in P2P lending markets
Caglayan, Mustafa; Talavera, Oleksandr; Zhang, Wei (14.11.2019)
Numero
22/2019Julkaisija
Bank of Finland
2019
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi:bof-201911151573Tiivistelmä
We explore individual lender behaviour on Renrendai.com, a leading Chinese peer-to-peer (P2P) crowdlending platform. Using a sample of roughly 5 million investor-loan-hour observations and applying a high-dimension fixed effect estimator, we establish evidence of herding behaviour: the investors in our sample tend to prefer assets that had attracted strong interest in previous periods. The herding behaviour relates to both the experience of the investor and the length of time of each investment session. The results show that herding happens mostly in the first or final hour of long sessions. Herding behaviour is further confirmed by estimates at the listing-hour data.
Sisällysluettelo
Abstract .. 4
1 Introduction .. 5
2 The P2P loan market in China and Renrendai.com .. 7
3 Empirical strategy .. 9
3.1 Data description .. 9
3.2 Econometric modelling .. 11
4 Results .. 13
4.1 Do individual investors herd? .. 13
4.2 The role of total logged session time on the platform .. 14
4.3 The role of experience on the platform .. 14
4.4 Session length and investor behavior .. 15
4.5 Experience and the first-hour effect .. 16
4.6 Is there herding behaviour at the listing level? .. 17
5 Conclusion .. 19
References .. 21
Figure and tables .. 23
Appendix .. 33
1 Introduction .. 5
2 The P2P loan market in China and Renrendai.com .. 7
3 Empirical strategy .. 9
3.1 Data description .. 9
3.2 Econometric modelling .. 11
4 Results .. 13
4.1 Do individual investors herd? .. 13
4.2 The role of total logged session time on the platform .. 14
4.3 The role of experience on the platform .. 14
4.4 Session length and investor behavior .. 15
4.5 Experience and the first-hour effect .. 16
4.6 Is there herding behaviour at the listing level? .. 17
5 Conclusion .. 19
References .. 21
Figure and tables .. 23
Appendix .. 33
Julkaisuhuomautus
Published in Journal of Empirical Finance Volume 63, Issue 1 , September 2021, Pages 27–41 https://doi.org/10.1016/j.jempfin.2021.05.005