Extreme spillovers between insurance tokens and insurance stocks: Evidence from the quantile connectedness approach

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...

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Detalles Bibliográficos
Autores: Yousaf, Imran, Jareño Cebrián, Francisco, Martínez Serna, María Isabel
Tipo de recurso: artículo
Fecha de publicación:2023
País:España
Institución:Universidad de Castilla-La Mancha
Repositorio:RUIdeRA. Repositorio Institucional de la UCLM
OAI Identifier:oai:ruidera.uclm.es:10578/31287
Acceso en línea:http://hdl.handle.net/10578/31287
Access Level:acceso abierto
Palabra clave:Insurance tokens
Insurance stocks
Connectedness
COVID-19 pandemic crisis
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spelling Extreme spillovers between insurance tokens and insurance stocks: Evidence from the quantile connectedness approachYousaf, ImranJareño Cebrián, FranciscoMartínez Serna, María IsabelInsurance tokensInsurance stocksConnectednessCOVID-19 pandemic crisisThis 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.Elsevier202320232023info:eu-repo/semantics/articleapplication/pdfapplication/pdfhttp://hdl.handle.net/10578/31287reponame:RUIdeRA. Repositorio Institucional de la UCLMinstname:Universidad de Castilla-La ManchaInglésSpanish Ministerio de Ciencia e Innovación (PID2021-128829NB-I00)Junta de Comunidades de Castilla-La Mancha (CLM21-PIC-068)info:eu-repo/semantics/openAccessoai:ruidera.uclm.es:10578/312872026-05-27T07:36:41Z
dc.title.none.fl_str_mv Extreme spillovers between insurance tokens and insurance stocks: Evidence from the quantile connectedness approach
title Extreme spillovers between insurance tokens and insurance stocks: Evidence from the quantile connectedness approach
spellingShingle Extreme spillovers between insurance tokens and insurance stocks: Evidence from the quantile connectedness approach
Yousaf, Imran
Insurance tokens
Insurance stocks
Connectedness
COVID-19 pandemic crisis
title_short Extreme spillovers between insurance tokens and insurance stocks: Evidence from the quantile connectedness approach
title_full Extreme spillovers between insurance tokens and insurance stocks: Evidence from the quantile connectedness approach
title_fullStr Extreme spillovers between insurance tokens and insurance stocks: Evidence from the quantile connectedness approach
title_full_unstemmed Extreme spillovers between insurance tokens and insurance stocks: Evidence from the quantile connectedness approach
title_sort Extreme spillovers between insurance tokens and insurance stocks: Evidence from the quantile connectedness approach
dc.creator.none.fl_str_mv Yousaf, Imran
Jareño Cebrián, Francisco
Martínez Serna, María Isabel
author Yousaf, Imran
author_facet Yousaf, Imran
Jareño Cebrián, Francisco
Martínez Serna, María Isabel
author_role author
author2 Jareño Cebrián, Francisco
Martínez Serna, María Isabel
author2_role author
author
dc.subject.none.fl_str_mv Insurance tokens
Insurance stocks
Connectedness
COVID-19 pandemic crisis
topic Insurance tokens
Insurance stocks
Connectedness
COVID-19 pandemic crisis
description 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.
publishDate 2023
dc.date.none.fl_str_mv 2023
2023
2023
dc.type.none.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv http://hdl.handle.net/10578/31287
url http://hdl.handle.net/10578/31287
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv Spanish Ministerio de Ciencia e Innovación (PID2021-128829NB-I00)
Junta de Comunidades de Castilla-La Mancha (CLM21-PIC-068)
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:RUIdeRA. Repositorio Institucional de la UCLM
instname:Universidad de Castilla-La Mancha
instname_str Universidad de Castilla-La Mancha
reponame_str RUIdeRA. Repositorio Institucional de la UCLM
collection RUIdeRA. Repositorio Institucional de la UCLM
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,228081

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