巨灾对股市影响(英文版).pdfVIP

C The Journal of Risk and Insurance, 2013, Vol. 80, No. 1, 65-94 DOI: 10.1111/j.1539-6975.2012.01478.x THE IMPACT OF CATASTROPHES ON INSURER STOCK VOLATILITY Christian Thomann ABSTRACT This article investigates the impact of natural catastrophes and the 9-11 at- tacks on (1) the volatility of insurance stocks and (2) the correlation of in- surance stocks with the market. We find that natural catastrophes increase the volatility of insurance stocks. They also have a tendency to reduce the correlation of insurance stocks and the market. Investors can, consequently, diversify natural catastrophe risk by additionally holdings of a market port- folio. However, this does not hold for 9-11. The events of 9-11 led to increases in volatility and, simultaneously, to an increase in correlation. We also find evidence that 9-11 increased the beta of insurance stocks. INTRODUCTION This study examines the impact of the 10 most expensive insured catastrophes on insurers’ stock volatility and the closely connected correlation between the returns on insurers’ stocks and the overall stock market. We use daily return data from 1988 until 2006 on property–casualty insurance stocks from the United States and a broad stock market index. The motivation to conduct these tests arises from an existing literature showing that the typical event study methodology may deliver biased results unless controls for event-induced increases in volatility and shifts in assets’ Christian Thomann is at the Ministry of Finance, Stockholm S-103 33, Sweden, and Institute ¨ for Risk and Insurance, Leibniz University Hannover, Konigsworther Platz 1, 30167 Hannover, Germany. The author can be contacted via e-mail: ct@ivbl.uni-hannover