2016, Vol.27, No.4

Journal of Insurance and Finance 2023 KCI Impact Factor : 0.59

pISSN : 2384-3209
https://journal.kci.go.kr/kiri

This study investigates the lead-lag relationships among stock index, sovereign CDS spread, and volatility index in Korean and Japanese markets. The methodologies we used for clarifying the links among variables include Granger-causality test, the impulse response analysis and the variance decomposition analysis based on vector autoregressive model. In order to expand the research scope and overcome the limitation of previous researches that have focused on the lead-lag linkages only in the ordinary economic environment, our research takes into consideration the distinctive role of financial crisis by splitting the aggregate time horizon into three sub-periods. Our main finding is that lead-lag relationships are more pronounced during financial crisis. The presumable reason would be the speed of transmitting information as well as the market inefficiency during the crisis. Put it differently, in inefficient markets where it is hard for any information to be reflected as fast as possible, one variable can have a predictive power for another variable. On the contrary, any lead-lag relationship between those three variables is not found in efficient markets where it is allowed for any news to be simultaneously transmitted to every markets. The empirical results exhibit the consistency of links among three variables both in the Korean and Japanese markets.

There have been many empirical studies in the United States to find a linkage between health status and portfolio choice of the individual households. In particular, it is important to account for the existence of unobserved characteristics such as risk attitudes, motivation, and information in the analysis because both health status and portfolio choice can be influenced by the unobserved heterogeneity. In this empirical study, we analyze how much the household portfolio decision is correlated with health status and whether this correlation is causal in Korea, where they have an obligatory national health care system different from the one in the United States. Most korean household panel data do not survey the subjective health status or, if ever, they do not survey the risky asset holdings of the households. We use the 2009-2013 waves of the National Survey of Tax and Benefit panel containing detailed information about the financial asset holdings of the households. As a proxy for the household's underlying health status, we construct a ratio of inpatient hospital costs over total medical costs of a household that can reflect its “poor” health status. Employing the random-effect probit and tobit models, we find that there is a statistically significant correlation between health status and portfolio choice. However, once we control for unobserved heterogeneity by applying the correlated random-effects models, we find that health status no longer serves as a significant independent variable for the individual household to decide whether to hold a risky asset or how much financial assets to be allocated in a risky asset.

This paper investigates the short-run and long-run linkages among insurance activity, banking development, and stock market for G-7 countries. To examine the short-run causal nexus, we adopt the Granger causality approach proposed by Toda and Yamamoto(1995). To explore the long-run relationships, we introduce an extended nonlinear econometric model with the Jumarie’s fractional derivative based on the fractional financial model for economic system, and the multiple stepwise regression technique is employed to explore the optimal regression. Our empirical results show that there exist various patterns of dynamic relationships among the three financial sectors. Specifically, their short-run and long-run relationships are country-specific, and the long-run linkage is stronger than the short-run linkage. Furthermore, the short-run causal relationship between insurance activity and banking credit is the strongest, whereas the long-run relationship between stock market and banking credit is the strongest. These findings offer some useful insights not only for investors to diversify their risk away, but also for policy makers to realize the synergistic development of the financial system in the process of economic growth.