我国保险市场与银行市场间的风险溢出效应研究——基于上市银行和保险公司的实证分析

The Study on Risk Spillover Effect between Insurance Market and Banking Market:Based on the Stock Price Volatility of Listed Insurers and Banks

本文运用我国上市保险公司和上市银行2008年1月至2016年11月的股票收益率数据构建了两市场的二阶段波动率模型。第一阶段,运用一元ARMA-GARCH模型对两个市场的波动性问题进行了测度。结果表明,两个市场的收益率序列都受到前期收益率的影响,存在风险暴露问题。第二阶段,运用二元VAR(2)-GARCH(1,1)-BEKK模型对两市场间的溢出效应进行了测度。实证结果显示,第一,均值溢出方程表明我国银行市场对保险市场存在微弱且短期的均值溢出效应,反之则没有;第二,波动溢出方程及WALD检验的结果证实我国保险市场和银行市场间存在双向波动溢出效应。本文认为,两市场的风险具有明显的关联性,任一市场的风险均可通过资本市场的"二阶效应"而传染给另一市场并形成风险扩散效应。

This paper established a two - stage and two - market volatility model using the stock yield data from 2008 to 2015 of Chinese listed insurance companies and banks. At the first stage, we applied an ARMA - GARCH model to measure two markets＇ volatility. The results showed that the yields of both markets were affected by the yields of last periods,and there were risk exposure effects. At the second stage,we used the VAR（2） -GARCH（ 1, 1 ） _BEKK model to measure the spillover effects between the two markets. The empirical results indicated that ： （ 1 ） the banking market had a weak and short mean value spillover effect on the insurance market, but none vice versa; （2） there existed a significant two -way volatility spillover effect between the two markets demonstrated by the mean value spillover equation and the WALD testing. Therefore, we came to the conclusion that the two markets＇ risks were highly correlated;the risk of each market could spread out by contagion through the capital market.