Efficiency Analysis of Private Lending Market in China—Based on Hurst Index

Abstract

This paper explored the efficiency of the private lending market based on the fractal market theory. We used the rescaled range analysis method and the generalized Hurst exponent analysis method respectively, and we got that the private lending market had not yet reached the weakly efficient level and was anti-persistent. Then we further used the time-varying Hurst index to describe the dynamic changes in the efficiency of the private lending market and analyzed the Chinese stock market and foreign exchange market as a comparative analysis. We found that among the three markets, the efficiency of the private lending market was the lowest, and that there was a correlation between the efficiencies of the three markets, and its effectiveness was affected by the other two markets. Finally, based on the above analysis results, we put forward relevant suggestions on the development of the private lending market and provided a decision basis for investors in the private financing market.