Intl. Conference on Economics, Finance & Business, Paris

CONNECTEDNESS BETWEEN CONTINGENT CONVERTIBLES AND THE VALUATION OF INSURANCE COMPANIES

ARKADIUSZ ORZECHOWSKI

Abstract:

The relationships among individual market segments within the commodity, financial, and derivative markets have been widely analyzed by researchers from various fields of science. A thorough analysis has been conducted to determine the transmission mechanisms between prices of energy commodities, such as crude oil, quotes of conventional assets, including stocks, bonds, and derivative instruments like futures contracts. These mechanisms have been scrutinized in both developed and developing countries. Over the past few years, several research results have demonstrated a growing interest in the interdependencies among various financial variables. However, little attention has been paid to the relationships between the quotations of hybrid instruments and the valuation of their issuers. The study aims to examine the existence of a "causality effect" between contingent convertible instruments and the shares of insurance entities issuing such financial instruments. The methodology is based on autoregressive models. The results indicate the presence of asymmetric transmission mechanisms among the analyzed variables.

Keywords: contingent convertibles, insurance companies, autoregressive models