Wang KM, Lee YM. Are life insurance futures a safe haven during COVID-19?
FINANCIAL INNOVATION 2023;
9:13. [PMID:
36643684 PMCID:
PMC9826759 DOI:
10.1186/s40854-022-00411-z]
[Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Key Words] [Grants] [Track Full Text] [Figures] [Subscribe] [Scholar Register] [Received: 02/23/2022] [Accepted: 10/23/2022] [Indexed: 06/17/2023]
Abstract
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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