Extreme spillovers between insurance tokens and insurance stocks: evidence from the quantile connectedness approach

Yousaf, Imran; Jareño, Francisco; Martínez Serna, María Isabel

Publication:
Extreme spillovers between insurance tokens and insurance stocks: evidence from the quantile connectedness approach

dc.contributor.author	Yousaf, Imran
dc.contributor.author	Jareño, Francisco
dc.contributor.author	Martínez Serna, María Isabel
dc.contributor.department	Organización de Empresas y Finanzas
dc.contributor.other	Facultades, Departamentos, Servicios y Escuelas::Departamentos de la UMU::Organización de Empresas y Finanzas	es
dc.date.accessioned	2025-02-28T06:55:35Z
dc.date.available	2025-02-28T06:55:35Z
dc.date.issued	2023-09
dc.description	© 2023 The Author(s). This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/ This document is Published Manuscript version of a Published Work that appeared in final form in Journal of Behavioral and Experimental Finance. To access the final edited and published work see https://doi.org/10.1016/j.jbef.2023.100823	es
dc.description.abstract	This study examines potential tail spillovers between insurance tokens and conventional stocks using the quantile connectedness approach by Ando et al. (2022). In particular, this study explores static and dynamic spillovers at lower and upper tails of the return distribution. In line with previous studies, tokens and conventional stocks within the insurance market may show positive but low connectedness levels. Furthermore, our findings confirm a higher sensitivity of the insurance system at both tails of the distribution in comparison with the median (𝑄 = 0.50). As expected, dynamic connectedness measures change over time, intensifying at the extremes of the distribution. This finding is confirmed by the robustness test that consists of analyzing the RTD (Relative Tail Dependence) measure, as we reject the symmetric response, since its values are clearly different from zero in most of the sample period. These results are of interest to portfolio managers, as the findings will allow them to suggest adjustments to investment portfolios according to the evolution of the dynamic spillovers found.	es
dc.format	application/pdf	es
dc.format.extent	16	es
dc.identifier.citation	Journal of Behavioral and Experimental Finance, 2023, Vol. 39 : 100823
dc.identifier.doi	https://doi.org/10.1016/j.jbef.2023.100823
dc.identifier.issn	Print: 2214-6350
dc.identifier.issn	Electronic: 2214-6369
dc.identifier.uri	http://hdl.handle.net/10201/151241
dc.language	eng	es
dc.publisher	Elsevier	es
dc.relation	This work was supported by Ministeriode Ciencia e Innovación (PID2021-128829NB-100) funded byMCIN/AEI/10.13039/501100011033 and by ‘‘ERDF A way of makingEurope’’, as well as the Junta de Comunidades de Castilla-La Mancha(SBPLY/21/180501/000086) and the Universidad de Castilla-La Mancha (2022-GRIN-34491), both of which were co-financed with ERDF funds, and, finally,Fundación CajaMurcia.	es
dc.relation.publisherversion	https://www.sciencedirect.com/science/article/pii/S2214635023000370?via%3Dihub	es
dc.rights	info:eu-repo/semantics/openAccess	es
dc.rights	Attribution-NonCommercial-NoDerivatives 4.0 Internacional	*
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/4.0/	*
dc.subject	Insurance tokens	es
dc.subject	Insurance stocks	es
dc.subject	Connectedness	es
dc.subject	COVID-19 pandemic crisis	es
dc.title	Extreme spillovers between insurance tokens and insurance stocks: evidence from the quantile connectedness approach	es
dc.type	info:eu-repo/semantics/article	es
dspace.entity.type	Publication	es