Like a moth to a flame: Do stock market bubbles exacerbate credit risks of peer‐to‐peer lending?
研究发现，当上证综指突破3500点时，P2P借贷的违约率和逾期率显著上升，且低质量贷款和过度自信的借款人受影响更大，表明金融科技可能放大风险并引发跨市场传染。
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.