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

作　　者：Kuan‑Min Wang Yuan‑Ming Lee 

机构地区：[1]Department of Finance,Overseas Chinese University,100 Chiao Kwang Road,Taichung 40721,Taiwan [2]Department of Finance,Southern Taiwan University of Science and Technology,No.1,Nantai St,Yung‑Kang City,Tainan,Taiwan

出　　处：《Financial Innovation》2023年第1期397-423,共27页金融创新（英文）

基　　金：supported in part by grants from the Ministry of Science and Technology,Taiwan,under Grant no.MOST 111-2410-H-240-001-.

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,esti-mated the asymmetric threshold vector autoregression model,and found that insur-ance 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.

关 键 词：Insurance futures TVAR TVP-VAR Safe haven Impulse response 

分 类 号：G11[文化科学] G12G22