Economics Research International

Research Article

Insurance and Banking Interconnectedness in Europe: The Opinion of Equity Markets

Table 2

Resultsβ€”CES for insurance and banking.
𝑅 π‘š = DOW
   𝛼 = 0 . 0 1 𝛼 = 0 . 0 2 𝛼 = 0 . 0 3 𝛼 = 0 . 0 4 𝛼 = 0 . 0 5
  Insurance βˆ’3.83 βˆ’3.17 βˆ’2.48 βˆ’2.17 βˆ’2.02
Average Banking βˆ’3.81 βˆ’3.21 βˆ’2.55 βˆ’2.19 βˆ’2.03
  Difference βˆ’0.02 0.04 0.07 0.02 0.01
  Insurance βˆ’6.99 βˆ’5.62 βˆ’4.20 βˆ’3.59 βˆ’3.37
Minimum Banking βˆ’6.18 βˆ’4.78 βˆ’3.91 βˆ’3.30 βˆ’2.99
  Difference βˆ’0.81 βˆ’0.84 βˆ’0.28 βˆ’0.29 βˆ’0.38
  Insurance βˆ’0.60 βˆ’0.68 βˆ’0.62 βˆ’0.62 βˆ’0.58
Maximum Banking βˆ’0.61 βˆ’0.64 βˆ’0.54 βˆ’0.57 βˆ’0.59
  Difference 0.01 βˆ’0.04 βˆ’0.08 βˆ’0.05 0.01
  Insurance βˆ’3.99 βˆ’3.3 βˆ’2.58 βˆ’2.25 βˆ’2.09
Average worst 20 Banking βˆ’4.62 βˆ’3.91 βˆ’3.13 βˆ’2.71 βˆ’2.47
  Difference 0.63 0.61 0.55 0.46 0.38
  Insurance βˆ’5.19 βˆ’4.23 βˆ’3.24 βˆ’2.82 βˆ’2.64
Average worst 10 Banking βˆ’5.25 βˆ’4.41 βˆ’3.54 βˆ’3.03 βˆ’2.76
  Difference 0.06 0.18 0.3 0.21 0.13
  Insurance βˆ’5.88 βˆ’4.74 βˆ’3.60 βˆ’3.14 βˆ’2.97
Average worst 5 Banking βˆ’5.63 βˆ’4.58 βˆ’3.74 βˆ’3.19 βˆ’2.90
  Difference βˆ’0.26 βˆ’0.16 0.14 0.05 βˆ’0.07
𝑅 π‘š = DAX
   𝛼 = 0 . 0 1 𝛼 = 0 . 0 2 𝛼 = 0 . 0 3 𝛼 = 0 . 0 4 𝛼 = 0 . 0 5
  Insurance βˆ’5.59 βˆ’4.39 βˆ’3.76 βˆ’3.35 βˆ’3.11
Average Banking βˆ’5.02 βˆ’3.86 βˆ’3.32 βˆ’2.95 βˆ’2.75
  Difference βˆ’0.57 βˆ’0.53 βˆ’0.44 βˆ’0.40 βˆ’0.37
  Insurance βˆ’9.67 βˆ’7.55 βˆ’6.11 βˆ’5.25 βˆ’4.93
Minimum Banking βˆ’7.80 βˆ’6.36 βˆ’5.45 βˆ’4.88 βˆ’4.47
  Difference βˆ’1.88 βˆ’1.19 βˆ’0.66 βˆ’0.37 βˆ’0.46
  Insurance βˆ’1.37 βˆ’0.93 βˆ’0.82 βˆ’0.74 βˆ’0.67
Maximum Banking βˆ’1.55 βˆ’0.98 βˆ’0.81 βˆ’0.78 βˆ’0.67
  Difference 0.17 0.05 βˆ’0.01 0.03 0.00
  Insurance βˆ’5.80 βˆ’4.56 βˆ’3.91 βˆ’3.48 βˆ’3.24
Average worst 20 Banking βˆ’6.12 βˆ’4.74 βˆ’4.08 βˆ’3.60 βˆ’3.37
  Difference 0.32 0.18 0.18 0.12 0.13
  Insurance βˆ’7.42 βˆ’5.97 βˆ’5.03 βˆ’4.48 βˆ’4.15
Average worst 10 Banking βˆ’6.99 βˆ’5.49 βˆ’4.68 βˆ’4.14 βˆ’3.84
  Difference βˆ’0.43 βˆ’0.48 βˆ’0.35 βˆ’0.35 βˆ’0.31
  Insurance βˆ’8.13 βˆ’6.49 βˆ’5.48 βˆ’4.85 βˆ’4.53
Average worst 5 Banking βˆ’7.44 βˆ’5.96 βˆ’5.04 βˆ’4.48 βˆ’4.15
  Difference βˆ’0.69 βˆ’0.53 βˆ’0.43 βˆ’0.37 βˆ’0.38
This table shows summary statistics: average, minimum, maximum, and average CES for portfolios containing the 20, 10, and 5 worst entities ranked according to their individual CES figures. The CES is calculated according to (1): C E S 𝑗 βˆ‘ ≑ ( 1 / 𝑛 ) 𝑛 𝑑 ( 𝑅 𝑗 𝑑 | 𝑅 π‘š 𝑑 < V a R 𝛼 ) , where V a R 𝛼 is the Value-at-Risk return of the market index measured at the 𝛼 -level of significance; 𝑛 denotes the number of days (observations) for which the return of the market index 𝑅 π‘š is lower than the VaR, that is; the number of observations that fall in the loss tail of 𝑅 π‘š at the used level of significance; two market indices are used: DOW and DAX, and the superscript 𝑗 refers to the individual companies where 𝑗 ∈ { (i)nsurance, (b)anks}.