Interest Rate Risk and Equity Values of International Life Insurance Companies: A MGARCH Model
碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 100 === This research is to explore if a life insurance company’s stock returns is affected by market risk and interest rate risk. Furthermore, it’s also to compare the domestic life insurance companies’related to those in Britain and the States. Here adopted the l...
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ndltd-TW-100SHU053040142017-04-29T04:31:06Z http://ndltd.ncl.edu.tw/handle/00851417212464023856 Interest Rate Risk and Equity Values of International Life Insurance Companies: A MGARCH Model 利率風險與壽險公司股價跨國關聯性之實證研究:多變量GARCH模型之應用 Li-ling Chou 周儷陵 碩士 世新大學 財務金融學研究所(含碩專班) 100 This research is to explore if a life insurance company’s stock returns is affected by market risk and interest rate risk. Furthermore, it’s also to compare the domestic life insurance companies’related to those in Britain and the States. Here adopted the life insurance companies return of stock, equity market index, and government bond(approximately 10 year maturity) from January 2003 to December 2011. This research uses generalized Autoregressive Conditional Heteroscedasticity Model to explore the market risks and interest risk’s impact on life insurance companies’return of stock. The research reveals that domestic life insurance companies’return of stock are subject to the market risks, which is a significant positive affect, while the interest risk is less significant; foreign life insurers’return of stock subject to market risks are less significant, however, most of the foreign life insurers’return of stock subject to interest risks have significant positive affect. Next, here uses Multivariate GARCH Model- Constant Conditional Correlation Model to explore share prices of domestic life insurance companies and the relationship with those of foreign insurers’return of stock. It shows that the impact between domestic life insurers’return of stock and foreign life insurers’are relatively not significant, while the share returns of British and US life insurance companies have more significant relationship, and more impact on each other. Fen-ying Chen 陳芬英 2012 學位論文 ; thesis 57 zh-TW |
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碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 100 === This research is to explore if a life insurance company’s stock returns is affected by market risk and interest rate risk. Furthermore, it’s also to compare the domestic life insurance companies’related to those in Britain and the States. Here adopted the life insurance companies return of stock, equity market index, and government bond(approximately 10 year maturity) from January 2003 to December 2011.
This research uses generalized Autoregressive Conditional Heteroscedasticity Model to explore the market risks and interest risk’s impact on life insurance companies’return of stock. The research reveals that domestic life insurance companies’return of stock are subject to the market risks, which is a significant positive affect, while the interest risk is less significant; foreign life insurers’return of stock subject to market risks are less significant, however, most of the foreign life insurers’return of stock subject to interest risks have significant positive affect.
Next, here uses Multivariate GARCH Model- Constant Conditional Correlation Model to explore share prices of domestic life insurance companies and the relationship with those of foreign insurers’return of stock. It shows that the impact between domestic life insurers’return of stock and foreign life insurers’are relatively not significant, while the share returns of British and US life insurance companies have more significant relationship, and more impact on each other.
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author2 |
Fen-ying Chen |
author_facet |
Fen-ying Chen Li-ling Chou 周儷陵 |
author |
Li-ling Chou 周儷陵 |
spellingShingle |
Li-ling Chou 周儷陵 Interest Rate Risk and Equity Values of International Life Insurance Companies: A MGARCH Model |
author_sort |
Li-ling Chou |
title |
Interest Rate Risk and Equity Values of International Life Insurance Companies: A MGARCH Model |
title_short |
Interest Rate Risk and Equity Values of International Life Insurance Companies: A MGARCH Model |
title_full |
Interest Rate Risk and Equity Values of International Life Insurance Companies: A MGARCH Model |
title_fullStr |
Interest Rate Risk and Equity Values of International Life Insurance Companies: A MGARCH Model |
title_full_unstemmed |
Interest Rate Risk and Equity Values of International Life Insurance Companies: A MGARCH Model |
title_sort |
interest rate risk and equity values of international life insurance companies: a mgarch model |
publishDate |
2012 |
url |
http://ndltd.ncl.edu.tw/handle/00851417212464023856 |
work_keys_str_mv |
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