A Study On The Contagion And Spillover Effects Of Systemic Risks Of Listed Insurance Companies

With the rapid development of the economy,the development of China's insurance industry is also changing with each passing day.It not only occupies an important position in the market economy,but it is also receiving more and more attention from the country.Especially now that the insurance industry is closely connected with various industries,it is more likely to cause risks.The transfer of insurance makes the entire insurance system and even the entire economic market likely to be spread by this risk,causing the country's economic crisis.Systemic risk is also the main risk that leads to the collapse of dominoes in various markets and countries.Control is very important for the crisis prevention of the market economy.Now the impact of systemic risk on the economic system and how to control the fluctuation of a single financial institution have become the research hotspots of related scholars.Therefore,the related research on systemic risk of insurance companies is It is necessary.This article selects four listed insurance companies,Xinhua Insurance,Ping An of China,China Life and China Taiping Insurance,and takes their weekly stock closing price data from January 2012 to September 2019 as research objects.The contagious effects of the systematic risks of four listed insurance companies were analyzed.Based on the VAR model of vector autoregression,Granger causality test,impulse response and Cholesky variance decomposition were used to characterize the contagious effects among the four listed insurance companies.Secondly,use VaR and CoVaR methods to study the spillover effects of systemic risk based on the GARCH family model,and select the optimal model.Each insurance company and insurance index series are used as dependent variables.VaR series are calculated by estimating the variance and mean of the model.Then,the CoVaR sequence is calculated by fitting and finally the sequence of% CoVaR of the risk spillover value is obtained to reflect the systemic risk contribution of four listed insurance companies in China,and quantitatively study the risk situation faced by listed insurance companies in China.Research shows that Ping An of China is the most robust,and can often return to stability in the fifth period when it is affected by shocks,while the period of disappearance of risk fluctuations of Xinhua Insurance,China Life and China Pacific Insurance is relatively lagging,and the impulse response basically disappears in the sixth and seventh periods,The three insurance companies are vulnerable to Ping An's risk contagion.As for the contagious effects suffered by Ping An of China,China Life,CPIC,and Xinhua Insurance have gradually weakened their influence.In terms of the risk spillover effects of systemic risks,the impact intensity is ranked from large to small as: Ping An of China,China Life,CPIC,and Xinhua Insurance.The results also confirm the status of Ping An's systemically important insurance institution.In terms of research innovations,this article breaks the single model research method and uses two models of the VAR and GARCH family models to measure the systemic risk contagion and spillover effects of listed insurance companies in China.From a research perspective,because At present,most scholars in China mainly focus on research among securities,banks and other institutions,and there is less research on insurance.Therefore,this article only conducts systemic risk related research on the insurance system.Association studies.