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

The Impact of Financial Crisis and Catastrophes on the Insurer Stock Market and Its Testing of Spillovers Effects

本文通过引入两类风险测度对保险股票指数和沪深300指数进行风险测度,在此基础上建立了金融危机和自然灾害等外生事件冲击下的VAR-BEKK-MVGARCHDUMMY-T模型。研究表明:(1)整个样本期内,保险股票指数的两类风险测度都大于沪深300指数,沪深300指数对保险股票指数存在负的均值溢出效应和波动溢出效应,而反之却不成立;(2)金融危机增加了保险股票指数的波动性,但对我国整个股票市场影响较小,而保险指数对自然灾害反应更敏感;(3)金融危机增加了两指数的相关性,而自然灾难却降低了两指数的相关性,投资者可以通过持有市场资产组合来分散化自然灾害风险;(4)溢出效应在金融危机和自然灾害冲击下具有非对称性和一些"异像"等特点。

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 spiUovers 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.