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A Study of Volatility and Externality Compensative Return of Internet Financial Products in the Case of Yuebao

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  • Yongwei Chen
  • Jiawei Pang
  • Weiying Zhang

Abstract

We use the data of 10 thousand accrual of Zenglibao monetary fund of Celestica Fund and two indicators of the monetary fund market, WIND index of monetary fund and CSI money fund index, to analyze the volatility and compensative rate of return of Yuebao. Based on the time-variant capital asset pricing model (CAPM), we quantitatively show that the volatility of return of Yuebao is less than that of the market, and the correlation between the Yuebao and the market is relatively low. These two conditions make the beta coefficient lower than that in traditional financial products. In this article, we define the gap between return of Yuebao and the estimated return by CAPM as the externality compensative rate of return, which is the main explanation of the high-return property of Yuebao.

Suggested Citation

  • Yongwei Chen & Jiawei Pang & Weiying Zhang, 2018. "A Study of Volatility and Externality Compensative Return of Internet Financial Products in the Case of Yuebao," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(4), pages 761-773, March.
    • Handle: RePEc:mes:emfitr:v:54:y:2018:i:4:p:761-773
    DOI: 10.1080/1540496X.2016.1248554
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