Market Risk, Interest Rate Risk, and Interdependencies in Insurer Stock Returns: A System-GARCH Model

被引：20

作者：

Carson, James M. ^{[1
]}

Elyasiani, Elyas ^{[2
]}

Mansur, Iqbal ^{[3
]}

机构：

[1] Florida State Univ, Coll Business, Tallahassee, FL 32306 USA

[2] Temple Univ, Fox Sch Business & Management, Philadelphia, PA 19122 USA

[3] Widener Univ, Sch Business Adm, Chester, PA 19013 USA

来源：

JOURNAL OF RISK AND INSURANCE | 2008年 / 75卷 / 04期

关键词：

D O I：

10.1111/j.1539-6975.2008.00289.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine market risk, interest rate risk, and interdependencies in returns and return volatilities across three insurer segments within a System-GARCH framework. Three main results are obtained: market risk is greatest for accident and health (A&H) insurers, followed by life (Life) and property and casualty (P&C) insurers; interest rate sensitivity is negative and greatest for Life insurers; and interdependencies in returns are significant with the magnitude being strongest between P&C and A&H insurers. The implication is that greatest diversification benefits arise between Life and the other segments of the insurance industry. Market risk and interest rate risk for diversified firms are smaller than those for nondiversified firms for both product and geographic diversification.

引用

页码：873 / 891

页数：19

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