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Tail-risk interconnectedness in the Chinese insurance sector

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  • Cao, Yufei

Abstract

We investigate tail-risk interconnectedness in the Chinese insurance sector by proposing downside and upside tail-risk spillover networks before and after the onset of the COVID-19 pandemic. The constructed networks allow us to capture marginal tail losses and time-varying tail-risk spillover effects. To identify the tail-risk transmission mechanism, we analyze network metrics. We find that tail-risk interconnectedness increased after the pandemic, showing that the risk level of the insurance sector has risen. Moreover, we use predictive panel regressions to investigate the impact of COVID-19 on tail-risk interconnectedness. We find that insurers’ size, liability-to-asset ratio, equity ratio, and book value per share are common factors that affect downside and upside tail-risk interconnectedness.

Suggested Citation

  • Cao, Yufei, 2023. "Tail-risk interconnectedness in the Chinese insurance sector," Research in International Business and Finance, Elsevier, vol. 66(C).
    • Handle: RePEc:eee:riibaf:v:66:y:2023:i:c:s0275531923001277
    DOI: 10.1016/j.ribaf.2023.102001
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    References listed on IDEAS

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    1. Andrieş, Alin Marius & Ongena, Steven & Sprincean, Nicu & Tunaru, Radu, 2022. "Risk spillovers and interconnectedness between systemically important institutions," Journal of Financial Stability, Elsevier, vol. 58(C).
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    Cited by:

    1. Ke, Rui & Shen, Anni & Yin, Man & Tan, Changchun, 2024. "The cross-sector risk contagion among Chinese financial institutions: Evidence from the extreme volatility spillover perspective," Finance Research Letters, Elsevier, vol. 63(C).
    2. Shi, Xiaojun & Du, Baorui, 2024. "Decomposition of social networks and household purchase of insurance as knowledge products," Research in International Business and Finance, Elsevier, vol. 69(C).

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