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

Author

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  • Kuan-Min Wang

    (Overseas Chinese University)

  • Yuan-Ming Lee

    (Southern Taiwan University of Science and Technology)

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.

Suggested Citation

  • Kuan-Min Wang & Yuan-Ming Lee, 2023. "Are life insurance futures a safe haven during COVID-19?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-27, December.
    • Handle: RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00411-z
    DOI: 10.1186/s40854-022-00411-z
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    References listed on IDEAS

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    Cited by:

    1. You-Shyang Chen & Ying-Hsun Hung & Yu-Sheng Lin, 2023. "A Study to Identify Long-Term Care Insurance Using Advanced Intelligent RST Hybrid Models with Two-Stage Performance Evaluation," Mathematics, MDPI, vol. 11(13), pages 1-34, July.
    2. repec:fst:rfsisf:v:8:y:2023:i:15:p:29-41 is not listed on IDEAS
    3. Cătălin Câmpeanu, 2023. "Determinants for life insurances, a view on notoriety," Journal of Financial Studies, Institute of Financial Studies, vol. 15(8), pages 29-41, November.

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    More about this item

    Keywords

    Insurance futures; TVAR; TVP-VAR; Safe haven; Impulse response;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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