Publication: Extreme spillovers between insurance tokens and insurance stocks: evidence from the quantile connectedness approach
Authors
Yousaf, Imran ; Jareño, Francisco ; Martínez Serna, María Isabel
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Facultades, Departamentos, Servicios y Escuelas::Departamentos de la UMU::Organización de Empresas y Finanzas
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Publisher
Elsevier
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DOI
https://doi.org/10.1016/j.jbef.2023.100823
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info:eu-repo/semantics/article
Description
© 2023 The Author(s). This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/
This document is Published Manuscript version of a Published Work that appeared in final form in Journal of Behavioral and Experimental Finance. To access the final edited and published work see https://doi.org/10.1016/j.jbef.2023.100823
Abstract
This study examines potential tail spillovers between insurance tokens and conventional stocks using the quantile connectedness approach by Ando et al. (2022). In particular, this study explores static and dynamic spillovers at lower and upper tails of the return distribution. In line with previous studies, tokens and conventional stocks within the insurance market may show positive but low connectedness levels. Furthermore, our findings confirm a higher sensitivity of the insurance system at both tails of the distribution in comparison with the median (𝑄 = 0.50). As expected, dynamic connectedness measures change over time, intensifying at the extremes of the distribution. This finding is confirmed by the robustness test that consists of analyzing the RTD (Relative Tail Dependence) measure, as we reject the symmetric response, since its values are clearly different from zero in most of the sample period. These results are of interest to portfolio managers, as the findings will allow them to suggest adjustments to investment portfolios according to the evolution of the dynamic spillovers found.
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Citation
Journal of Behavioral and Experimental Finance, 2023, Vol. 39 : 100823
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Este ítem está sujeto a una licencia Creative Commons. http://creativecommons.org/licenses/by-nc-nd/4.0/