INVESTIGATING FINANCIAL INNOVATION AND EUROPEAN CAPITAL MARKETS. THE CASE OF CATASTROPHE BONDS AND LISTED REINSURANCE COMPANIES
Focusing on the financial innovation – stock market interconnections, the present research studies the association between the insurance-linked market activity of European (re)insurance companies and their evolution on the capital markets. With the aim of emphasizing the connections from the persp...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Academica Brâncuşi
2014-12-01
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| Series: | Analele Universităţii Constantin Brâncuşi din Târgu Jiu : Seria Economie |
| Subjects: | |
| Online Access: | http://www.utgjiu.ro/revista/ec/pdf/2014-06/01_Constantin,%20Cernat.pdf |
| Summary: | Focusing on the financial innovation – stock market interconnections, the present research studies the
association between the insurance-linked market activity of European (re)insurance companies and their evolution on
the capital markets. With the aim of emphasizing the connections from the perspective of the stock performance and
their risk, the empirical analysis is based on vector autoregression (VAR) and Granger causality analyses. The
proposed examination is further developed by considering both impulse response functions and variance
decomposition insights. The proxies of the catastrophe bond market, as financial innovation, there are employed both
the size and the number of catastrophe bonds transactions, while the stock returns and their standard deviation stand
for representatives of the evolution of the reinsurance companies on the capital markets in terms of financial
performance and risk. The main results confirm other studies, suggesting that the effects of issuing cat bonds on the
ceding companies is reflected rather in terms of stocks’ risk diminishing. |
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| ISSN: | 1844-7007 1844-7007 |