Insurance and Interconnectedness in the Financial Services Industry

TABLE 3
Granger causality tests for all insurance companies and by type of insurance company, with
tests of lead and lag relationships between raw returns on non-insurance companies and those
of insurance companies
Table values are p-­‐values, with statistically significant Wald tests p-­‐values indicated in bold and
italics based on one-­‐period lead or lag relationships.
PANEL A ALL INSURANCE COMPANIES
Insurance Companies Insurance Company as
Period
as Leader
Laggard
1994 through 2010 0.5937 0.1239
1994 through 1999 0.6965 0.5485
2000 through 2004 0.0010 0.0073
2004 through 2008 0.0122 0.0114
2008 through 2010 0.0784 0.0010
PANEL B FINANCIAL GUARANTEE INSURERS
PANEL C LIFE INSURERS
Financial Guarantee Financial Guarantee
Period
Insurers as Leader Insurers as Laggard
1994 through 2010 0.0002 0.0001
1994 through 1999 0.3503 0.2648
2000 through 2004 0.0184 0.0289
2005 through 2008 0.0000 0.0000
2009 through 2010 0.0566 0.0000
Period Life Insurers as Leader Life Insurers as Laggard
1994 through 2010 0.0017 0.0523
1994 through 1999 0.6097 0.4021
2000 through 2004 0.0871 0.2742
2005 through 2008 0.0000 0.4358
2009 through 2010 0.0107 0.6857
PANEL D ACCIDENT/HEALTH INSURERS
Accident/Health Accident/Health
Period
Insurers as Leader Insurers as Laggard
1994 through 2010 0.5899 0.1506
1994 through 1999 0.8729 0.9455
2000 through 2004 0.2783 0.1700
2005 through 2008 0.0341 0.1051
2009 through 2010 0.1125 0.0000
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