An Empirical Research on Return of Yuebaoand Shibor Volatility

Zhai Wenhao

doi:doi:10.11648/j.si.20160406.15

| Peer-Reviewed

An Empirical Research on Return of Yuebaoand Shibor Volatility

Zhai Wenhao

Published in Science Innovation (Volume 4, Issue 6)

Received: 6 December 2016 Published: 7 December 2016

Views: Downloads:

Download PDF

Share This Article

Twitter
Linked In
Facebook

Abstract

The pricing of Internet financial product returns is closely related to the benchmark interest rate of money market. Return of Yuebao as the representative of theInternet financial rate and Shanghai interbank market interbank lending rates from July 1, 2015 to June 30, 2016, and using the VAR model to analyze the relationship between the two, the results show that The impact on the volatility of yuebao rate of return from shibor interest is positive，The fluctuation of yuebao rate of the current period is mainly affected by the pre-period, Shibor interest rate as the benchmark money market interest rate, lacks of sufficient impact to the rate of return on the Internet financial products.

Published in	Science Innovation (Volume 4, Issue 6)
DOI	10.11648/j.si.20160406.15
Page(s)	272-277
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2016. Published by Science Publishing Group

Keywords

Yuebao Rate of Return, Shibor Interest Rate, Volatility Correlation

References

[1]	Mishkin．Value at Risk：The Benchmark for Controlling Market Risk［J］． The Quarterly Journal of Economics and Finance，2011 (6): 20—28．
[2]	Mike Burton．Project RiskAssessment：A EuropeanField Study［J］．The British Accounting Review，2012 (31) ：21 －23．
[3]	Robert J．Shiller．The New Financial Order：Risk in the 21st Century［J］． Risk in the 21st Century，2013: 11—15．
[4]	巴曙松.货币市场基金与利率市场化———从国际比较看当前中国货币市场基金争议[J].中国金融，2014，（6）。
[5]	乔海曙，李颖.余额宝的鲶鱼效应、存款利率市场化及其应对[J].当代财经，2014，（18）：19-41。
[6]	吴君，吴业明.互联网金融创新的逻辑起点与法律边界——基于余额宝的商业模式[J].金融与经济，2014，（6）：76-80。
[7]	梁红梅，李思.基于EGARCH(1,1)模型对余额宝日收益率波动的实证研究[J].经济界，2014，（6）：16-19。
[8]	柴用栋，曹剑飞.互联网货币基金收益率与商业银行理财产品收益率、SHIBOR利率的关系研究[J].学术论坛，2014，（10）:79—84。
[9]	庄雷.余额宝与国债市场收益率波动的实证研究[J].经济与管理，2015，（3）：74—79。
[10]	邱云波.中国股票收益率和货币政策目标动态关系的实证分析[J].经济评论，2009，（1）：26-33。
[11]	梁红梅，李思.基于EGARCH(1,1)模型对余额宝日收益率波动的实证研究[J].经济界，2014，（6）：16-19。
[12]	唐齐鸣，熊洁敏.中国资产价格与货币政策反应函数模拟[J].数量经济技术经济研究，2009，(11)：104-115。
[13]	赵海鹏，常昭，皮娟.利率市场化下的“余额宝”模式可持续发展对策研究[J].商场现代化，2015，（4）：236—238。

Cite This Article

Plain Text BibTeX RIS

APA Style

Zhai Wenhao. (2016). An Empirical Research on Return of Yuebaoand Shibor Volatility. Science Innovation, 4(6), 272-277. https://doi.org/10.11648/j.si.20160406.15

Copy | Download

ACS Style

Zhai Wenhao. An Empirical Research on Return of Yuebaoand Shibor Volatility. Sci. Innov. 2016, 4(6), 272-277. doi: 10.11648/j.si.20160406.15

Copy | Download

AMA Style

Zhai Wenhao. An Empirical Research on Return of Yuebaoand Shibor Volatility. Sci Innov. 2016;4(6):272-277. doi: 10.11648/j.si.20160406.15

Copy | Download

@article{10.11648/j.si.20160406.15,
  author = {Zhai Wenhao},
  title = {An Empirical Research on Return of Yuebaoand Shibor Volatility},
  journal = {Science Innovation},
  volume = {4},
  number = {6},
  pages = {272-277},
  doi = {10.11648/j.si.20160406.15},
  url = {https://doi.org/10.11648/j.si.20160406.15},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.si.20160406.15},
  abstract = {The pricing of Internet financial product returns is closely related to the benchmark interest rate of money market. Return of Yuebao as the representative of theInternet financial rate and Shanghai interbank market interbank lending rates from July 1, 2015 to June 30, 2016, and using the VAR model to analyze the relationship between the two, the results show that The impact on the volatility of yuebao rate of return from shibor interest is positive，The fluctuation of yuebao rate of the current period is mainly affected by the pre-period, Shibor interest rate as the benchmark money market interest rate, lacks of sufficient impact to the rate of return on the Internet financial products.},
 year = {2016}
}

Copy | Download

TY  - JOUR
T1  - An Empirical Research on Return of Yuebaoand Shibor Volatility
AU  - Zhai Wenhao
Y1  - 2016/12/07
PY  - 2016
N1  - https://doi.org/10.11648/j.si.20160406.15
DO  - 10.11648/j.si.20160406.15
T2  - Science Innovation
JF  - Science Innovation
JO  - Science Innovation
SP  - 272
EP  - 277
PB  - Science Publishing Group
SN  - 2328-787X
UR  - https://doi.org/10.11648/j.si.20160406.15
AB  - The pricing of Internet financial product returns is closely related to the benchmark interest rate of money market. Return of Yuebao as the representative of theInternet financial rate and Shanghai interbank market interbank lending rates from July 1, 2015 to June 30, 2016, and using the VAR model to analyze the relationship between the two, the results show that The impact on the volatility of yuebao rate of return from shibor interest is positive，The fluctuation of yuebao rate of the current period is mainly affected by the pre-period, Shibor interest rate as the benchmark money market interest rate, lacks of sufficient impact to the rate of return on the Internet financial products.
VL  - 4
IS  - 6
ER  -

Copy | Download

Author Information

Zhai Wenhao

School of Economics, Shanghai University, Shanghai, China

Download PDF

Sections

Plain Text BibTeX RIS

APA Style

Zhai Wenhao. (2016). An Empirical Research on Return of Yuebaoand Shibor Volatility. Science Innovation, 4(6), 272-277. https://doi.org/10.11648/j.si.20160406.15

Copy | Download

ACS Style

Zhai Wenhao. An Empirical Research on Return of Yuebaoand Shibor Volatility. Sci. Innov. 2016, 4(6), 272-277. doi: 10.11648/j.si.20160406.15

Copy | Download

AMA Style

Zhai Wenhao. An Empirical Research on Return of Yuebaoand Shibor Volatility. Sci Innov. 2016;4(6):272-277. doi: 10.11648/j.si.20160406.15

Copy | Download

@article{10.11648/j.si.20160406.15,
  author = {Zhai Wenhao},
  title = {An Empirical Research on Return of Yuebaoand Shibor Volatility},
  journal = {Science Innovation},
  volume = {4},
  number = {6},
  pages = {272-277},
  doi = {10.11648/j.si.20160406.15},
  url = {https://doi.org/10.11648/j.si.20160406.15},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.si.20160406.15},
  abstract = {The pricing of Internet financial product returns is closely related to the benchmark interest rate of money market. Return of Yuebao as the representative of theInternet financial rate and Shanghai interbank market interbank lending rates from July 1, 2015 to June 30, 2016, and using the VAR model to analyze the relationship between the two, the results show that The impact on the volatility of yuebao rate of return from shibor interest is positive，The fluctuation of yuebao rate of the current period is mainly affected by the pre-period, Shibor interest rate as the benchmark money market interest rate, lacks of sufficient impact to the rate of return on the Internet financial products.},
 year = {2016}
}

Copy | Download

TY  - JOUR
T1  - An Empirical Research on Return of Yuebaoand Shibor Volatility
AU  - Zhai Wenhao
Y1  - 2016/12/07
PY  - 2016
N1  - https://doi.org/10.11648/j.si.20160406.15
DO  - 10.11648/j.si.20160406.15
T2  - Science Innovation
JF  - Science Innovation
JO  - Science Innovation
SP  - 272
EP  - 277
PB  - Science Publishing Group
SN  - 2328-787X
UR  - https://doi.org/10.11648/j.si.20160406.15
AB  - The pricing of Internet financial product returns is closely related to the benchmark interest rate of money market. Return of Yuebao as the representative of theInternet financial rate and Shanghai interbank market interbank lending rates from July 1, 2015 to June 30, 2016, and using the VAR model to analyze the relationship between the two, the results show that The impact on the volatility of yuebao rate of return from shibor interest is positive，The fluctuation of yuebao rate of the current period is mainly affected by the pre-period, Shibor interest rate as the benchmark money market interest rate, lacks of sufficient impact to the rate of return on the Internet financial products.
VL  - 4
IS  - 6
ER  -

Copy | Download