In this paper, the authors reveal the link between the stock market and the Peer-to-Peer (P2P) lending market by exploring information of more than 450 thousand loans on Renrendai.com, a leading Chinese P2P crowd lending platform. Based on the fact that retail investors exhibit a disproportional level of attention when the Shanghai Stock Exchange (SSE) composite index is above the 3,500 threshold, the authors find that both the default rate and the degree of delinquency have a disproportional jump for loans borrowed above the 3,500 threshold of the SSE composite index.