Insurance and Banking Interconnectedness in Europe : The Opinion of Equity Markets
Author
Source
Economics Research International
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-08-28
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
Conditional expected shortfalls calculated for European insurance companies and banks under stressed market conditions are shown to be of similar magnitudes.
Measured at 95% and 99% stress levels, on data covering the period from 1995 to 2011, the equity-return tail losses of insurance undertakings and banks are indistinguishable.
Granger causality analysis, on all pairs of banks and insurance companies included in the sample, shows that banks and insurance companies have equal propensity to cause each others price movements.
Even though the business model of insurance undertakings is different from the business model typically applied by banks, and even though insurance companies are not depending to a similar degree on short term funding as banks, the empirical results indicate that the financial equity markets in Europe do not differentiate their trading of banks and insurance companies in periods of stress.
American Psychological Association (APA)
Nyholm, Ken. 2012. Insurance and Banking Interconnectedness in Europe : The Opinion of Equity Markets. Economics Research International،Vol. 2012, no. 2012, pp.1-8.
https://search.emarefa.net/detail/BIM-478604
Modern Language Association (MLA)
Nyholm, Ken. Insurance and Banking Interconnectedness in Europe : The Opinion of Equity Markets. Economics Research International No. 2012 (2012), pp.1-8.
https://search.emarefa.net/detail/BIM-478604
American Medical Association (AMA)
Nyholm, Ken. Insurance and Banking Interconnectedness in Europe : The Opinion of Equity Markets. Economics Research International. 2012. Vol. 2012, no. 2012, pp.1-8.
https://search.emarefa.net/detail/BIM-478604
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-478604