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An Empirical Research on Return of Yuebaoand Shibor Volatility

Received: 6 December 2016     Published: 7 December 2016
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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
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[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。
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  • 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

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    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

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    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

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  • @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}
    }
    

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  • 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  - 

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Author Information
  • School of Economics, Shanghai University, Shanghai, China

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