Insurance and Interconnectedness in the Financial Services Industry
Insurance and Interconnectedness in the Financial Services Industry
Insurance and Interconnectedness in the Financial Services Industry
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FIGURE 4<br />
Pr<strong>in</strong>cipal components analysis of <strong>the</strong> monthly return <strong>in</strong>dexes for <strong>the</strong> overall sample of brokers,<br />
banks, <strong>in</strong>surers, FHCs, <strong>and</strong> hedge funds from December 1996 to December 2010<br />
Illustrated are <strong>the</strong> 36-‐month roll<strong>in</strong>g-‐w<strong>in</strong>dow eigenvalues for pr<strong>in</strong>cipal components PCA1<br />
through PCA5.<br />
VariaOon expla<strong>in</strong>ed<br />
100%<br />
90%<br />
80%<br />
70%<br />
60%<br />
50%<br />
40%<br />
30%<br />
20%<br />
10%<br />
0%<br />
Dec-‐96<br />
Aug-‐97<br />
Apr-‐98<br />
Dec-‐98<br />
PCA1 PCA2 PCA3 PCA4 PCA5<br />
Aug-‐99<br />
Apr-‐00<br />
Dec-‐00<br />
Aug-‐01<br />
Apr-‐02<br />
Dec-‐02<br />
Aug-‐03<br />
Apr-‐04<br />
Month<br />
Dec-‐04<br />
Aug-‐05<br />
Apr-‐06<br />
Dec-‐06<br />
Aug-‐07<br />
Apr-‐08<br />
Dec-‐08<br />
Aug-‐09<br />
Apr-‐10<br />
Dec-‐10<br />
31
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