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

被引：0
作者：
Kuan-Min Wang
Yuan-Ming Lee
机构：
[1] Overseas Chinese University,Department of Finance
[2] Southern Taiwan University of Science and Technology,Department of Finance
来源：
Financial Innovation | / 9卷
关键词：
Insurance futures; TVAR; TVP-VAR; Safe haven; Impulse response; G11; G12; G22;
D O I：
暂无
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学科分类号：
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.
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