ABSTRACT
In this letter, we study the P2P behavioural finance which addresses an effect of flight to quality under certain policy interventions. We apply the date of loan transactions from a Chinese peer-to-peer (P2P) lending platform and construct a regression discontinuity design to detect the effect of government policy intervention with the closing of the P2P market. We find that strict policy interventions have significant impacts on investors’ behaviours, which lead the investors to downgrade their expectations of the credit levels of the loan. Such impacts on investor behaviour induce a flight-to-quality scenario of the P2P market.
GEL CLASIFICATION:
Disclosure statement
No potential conflict of interest was reported by the author(s).
Notes
1 The breakpoint set corresponds to when the P2P regulatory policy was issued in December 2017.