Academic Journal of Business & Management, 2022, 4(7); doi: 10.25236/AJBM.2022.040709.
Hao Zhou
School of Insurance, Central University of Finance and Economics, Beijing, China
The insurance fund operation requires consideration of prudence and security. Research on the risk spillover effect of the insurance industry in the stock market is of great significance. The study explored how to better assess the insurance industry's risk in the stock market and the spillover effects between the insurance industry and other different industries. Firstly, the ARMA-GARCH model was used to fit the logarithmic returns of six industries in China's A-share market, including insurance industry, pharmaceutical industry, public health, financial technology industry, green industry and blockchain industry. Then, each order model under the assumption residual of partial normal distribution was established respectively. Then the t-Copula connection function between the insurance industry and other industries was fitted. Finally, through the calculation of VaR and CoVaR, the risk spillover effects between each industry's own value at risk and the insurance industry were studied. The research provides a theoretical reference for the risk management of China' s insurance industry funds investing in the stock market.
Insurance fund operation; risk spillover effect; GARCH-Copula-CoVaR model
Hao Zhou. Analysis of The Stock Market Risk Spillover Effect of China's Insurance Industry Based on a GARCH-Copula-Covar Model. Academic Journal of Business & Management (2022) Vol. 4, Issue 7: 57-62. https://doi.org/10.25236/AJBM.2022.040709.
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