Abstract:
In order to measure the risk of insurance stock index and Hushen 300 index, we introduce two different types of risk measurement, then we construct the model of VAR-BEKK-MVGARCH-DUMMY-T under the impact of financial crisis and natural catastrophes in the model. The study shows that (1) in total sample, it shows that both of the two risk types of insurance index are larger than the latter. Hushen 300 index does have mean and volatility spillovers effects onto insurance stock market, but this does not hold for the opposite; (2) financial crisis increase the volatility of insurance stocks, but has little effect on whole securities market, insurance stock is sensitive to natural catastrophes; (3) we find that financial crisis increase the correlation of the two indexes, while natural catastrophes decrease the correlation. Investors can, consequently, diversify natural catastrophe risk by additionally holdings of a market portfolio; (4)The spillovers effect is asymmetric under the impulse of financial crisis and natural catastrophes, and have some anomalies.
耿志祥, 孙祁祥. 金融危机和自然灾害对保险股票市场的影响与溢出效应检验[J]. 金融研究, 2016, 431(5): 65-81.
GENG Zhixiang, SUN Qixiang. The Impact of Financial Crisis and Catastrophes on the Insurer Stock Market and Its Testing of Spillovers Effects. Journal of Financial Research, 2016, 431(5): 65-81.
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