Insurance and Banking Interconnectedness in Europe: The Opinion of Equity Markets
Table 2
ResultsβCES for insurance and banking.
DOW
β
β
β
Insurance
β3.83
β3.17
β2.48
β2.17
β2.02
Average
Banking
β3.81
β3.21
β2.55
β2.19
β2.03
β
Difference
β0.02
0.04
0.07
0.02
0.01
β
Insurance
β6.99
β5.62
β4.20
β3.59
β3.37
Minimum
Banking
β6.18
β4.78
β3.91
β3.30
β2.99
β
Difference
β0.81
β0.84
β0.28
β0.29
β0.38
β
Insurance
β0.60
β0.68
β0.62
β0.62
β0.58
Maximum
Banking
β0.61
β0.64
β0.54
β0.57
β0.59
β
Difference
0.01
β0.04
β0.08
β0.05
0.01
β
Insurance
β3.99
β3.3
β2.58
β2.25
β2.09
Average worst 20
Banking
β4.62
β3.91
β3.13
β2.71
β2.47
β
Difference
0.63
0.61
0.55
0.46
0.38
β
Insurance
β5.19
β4.23
β3.24
β2.82
β2.64
Average worst 10
Banking
β5.25
β4.41
β3.54
β3.03
β2.76
β
Difference
0.06
0.18
0.3
0.21
0.13
β
Insurance
β5.88
β4.74
β3.60
β3.14
β2.97
Average worst 5
Banking
β5.63
β4.58
β3.74
β3.19
β2.90
β
Difference
β0.26
β0.16
0.14
0.05
β0.07
DAX
β
β
β
Insurance
β5.59
β4.39
β3.76
β3.35
β3.11
Average
Banking
β5.02
β3.86
β3.32
β2.95
β2.75
β
Difference
β0.57
β0.53
β0.44
β0.40
β0.37
β
Insurance
β9.67
β7.55
β6.11
β5.25
β4.93
Minimum
Banking
β7.80
β6.36
β5.45
β4.88
β4.47
β
Difference
β1.88
β1.19
β0.66
β0.37
β0.46
β
Insurance
β1.37
β0.93
β0.82
β0.74
β0.67
Maximum
Banking
β1.55
β0.98
β0.81
β0.78
β0.67
β
Difference
0.17
0.05
β0.01
0.03
0.00
β
Insurance
β5.80
β4.56
β3.91
β3.48
β3.24
Average worst 20
Banking
β6.12
β4.74
β4.08
β3.60
β3.37
β
Difference
0.32
0.18
0.18
0.12
0.13
β
Insurance
β7.42
β5.97
β5.03
β4.48
β4.15
Average worst 10
Banking
β6.99
β5.49
β4.68
β4.14
β3.84
β
Difference
β0.43
β0.48
β0.35
β0.35
β0.31
β
Insurance
β8.13
β6.49
β5.48
β4.85
β4.53
Average worst 5
Banking
β7.44
β5.96
β5.04
β4.48
β4.15
β
Difference
β0.69
β0.53
β0.43
β0.37
β0.38
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): , where is the Value-at-Risk return of the market index measured at the -level of significance; denotes the number of days (observations) for which the return of the market index is lower than the VaR, that is; the number of observations that fall in the loss tail of at the used level of significance; two market indices are used: DOW and DAX, and the superscript refers to the individual companies where (i)nsurance, (b)anks}.