Dynamic Cross‐Correlations between Participants’ Attentions to P2P Lending and Offline Loan in the Private Lending Market

Abstract

In this paper, we examine the dynamic cross-correlations between participants' attentions to the P2P lending and o ine loan (lending) with the method of multifractal detrended cross-correlation analysis (MF-DCCA). e empirical result mainly shows that (1) the power-law cross-correlation exists between participants' attentions to the P2P lending and o ine loan and is persistent, (2) the cross-correlation is more stable in the short term, and (3) the relation subjected to a small uctuation is more cross-correlated than that under larger ones. Furthermore, we carry out the robustness test to verify the result. e Granger causality test indicates that participants' attentions to P2P lending and o ine loan Granger cause each other in the short term.