Insurance and Interconnectedness in the Financial Services Industry

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TABLE 4 Granger causality tests for all insurance companies and by type of insurance company, with tests of lead and lag relationships between market adjusted 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 as Insurance Company as Period Leader Laggard 1994 through 2010 0.6673 0.0415 1994 through 1999 0.2244 0.7991 2000 through 2004 0.2944 0.0089 2005 through 2008 0.0878 0.0012 2009 through 2010 0.0314 0.0005 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 0.0005 1994 through 1999 0.1451 0.2521 2000 through 2004 0.4505 0.0030 2005 through 2008 0.0000 0.0000 2009 through 2010 0.0000 0.0288 Period Life Insurers as Leader Life Insurers as Laggard 1994 through 2010 0.0007 0.0785 1994 through 1999 0.0151 0.1291 2000 through 2004 0.3780 0.2166 2005 through 2008 0.0000 0.5206 2009 through 2010 0.0000 0.7235 PANEL D ACCIDENT/HEALTH INSURERS Accident/Health Accident/Health Insurers Period Insurers as Leader as Laggard 1994 through 2010 0.3766 0.1138 1994 through 1999 0.5449 0.6462 2000 through 2004 0.2592 0.1142 2005 through 2008 0.3194 0.1005 2009 through 2010 0.0128 0.0000 26
TABLE 4, CONTINUED PANEL E PROPERTY AND CASUALTY Property and Casualty Property and Casualty Period Insurers as Leader Insurers as Laggard 1994 through 2010 0.3164 0.3818 1994 through 1999 0.5487 0.8377 2000 through 2004 0.0393 0.0131 2005 through 2008 0.2904 0.3386 2009 through 2010 0.0321 0.0867 PANEL F OTHER INSURERS Period Other Insurers as Leader Other Insurers as Laggard 1994 through 2010 0.7081 0.0156 1994 through 1999 0.5703 0.0507 2000 through 2004 0.6125 0.2311 2005 through 2008 0.1219 0.5669 2009 through 2010 0.7176 0.0457 27
Page 1 and 2: Insurance and Interconnectedness in
Page 3 and 4: Insurance and Interconnectedness in
Page 5 and 6: elationships with banks and expansi
Page 7 and 8: Life insurers **************** Inse
Page 9 and 10: Financial guarantee insurers Financ
Page 11 and 12: • Within the insurance industry,
Page 13 and 14: ! !
Page 15 and 16: are considered significant (Tabachn
Page 17 and 18: We graph the first two principal co
Page 19 and 20: directionality is reversed in the c
Page 21 and 22: REFERENCES Acharya, Viral V., Lasse
Page 23 and 24: TABLE 1 Principal Components Analys
Page 25 and 26: Table 2, Panel B, continued Eigenve
Page 27: TABLE 3, CONTINUED PANEL E PROPERTY
Page 31 and 32: FIGURE 2 Proportion of insurance as
Page 33 and 34: FIGURE 4 Principal components analy
Page 35: FIGURE 6 Variation explained by pri

Insurance and Interconnectedness in the Financial Services Industry

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