Are life insurance futures a safe haven during COVID-19?

被引：3

作者：

Wang, Kuan-Min ^{[1
]}

Lee, Yuan-Ming ^{[2
]}

机构：

[1] Overseas Chinese Univ, Dept Finance, 100 Chiao Kwang Rd, Taichung 40721, Taiwan

[2] Southern Taiwan Univ Sci & Technol, Dept Finance, 1,Nantai St, Tainan, Taiwan

来源：

FINANCIAL INNOVATION | 2023年 / 9卷 / 01期

关键词：

Insurance futures; TVAR; TVP-VAR; Safe haven; Impulse response; TIME; CONSUMPTION; HEALTH; HEDGE; GOLD;

D O I：

10.1186/s40854-022-00411-z

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study aims to examine whether life insurance futures can serve as a hedge against the COVID-19 pandemic and whether they have the characteristics of a safe haven under the impact of the health shocks of the COVID-19 pandemic. We chose three life insurance stock futures in India and one in Taiwan as samples, including the market index of the two countries and the number of confirmed COVID-19 cases as sample variables. We used the growth rate of COVID-19 cases as the threshold variable, estimated the asymmetric threshold vector autoregression model, and found that insurance futures in the regime with a significant growth rate of confirmed COVID-19 cases can hedge against COVID-19 risks; therefore, insurance futures are a safe haven for the market. We further estimated the time-varying parameter vector autoregression model, and the impulse response results showed that insurance futures are a safe haven for COVID-19 pandemic risks.

引用

页数：27

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