A Comparative Study On Stock Price Volatility Of Two Listed Insurance Companies In China Based On VaR-GARCH Model

Insurance as a sunrise industry,its development speed and the degree of concern is increasing year by year,according to statistics show that in 2015 the insurance company profits of 282.36 billion yuan,an increase of 38%.This has also become one of the important reasons for stimulating the influx of social capital into the insurance industry in 2016.For ordinary investors,in addition to the purchase of insurance companies to issue financial products,another investment channel is to buy listed insurance companies issued shares.In 2007 China Life Insurance,Ping An and Pacific Insurance landed on A shares markets.At the end of 2009,China Pacific Insurance was successfully listed in Hong Kong.In 2011,Xinhua Life Insurance became the first domestic insurance company to list with A + H shares markets.As insurance became the darling of the capital market,the investment in its stock is also growing,then how to measure the risks faced by these insurance companies,has become the focus of investor attention.A good risk measure has a very important practical significance to the investment insurance industry.With the further study of the stock risk,the research on the stock volatility is gradually derived.Stock volatility mainly refers to the stock price fluctuations,due to the high availability of securities prices,easy to accurately measure the volatility of the stock price,so this paper uses China Life Insurance and China Pacific Insurance two listed insurance company stock closing price,due to financial markets prone to Spike thick tail characteristics,making the actual distribution is different from the normal distribution hypothesis.Therefore,this paper examines the stock price return series under the normal distribution,t distribution and GED distribution,and uses the GARCH model to calculate the stock price volatility of listed insurance companies.In order to study the leverage effect of stock price,TGARCH model and GARCH-M model can be used.the TGARCH model can be used to find out whether there is a symmetry problem in the stock price.In the past,the scholars find that there is a "leverage effect" in the study of the asymmetry problem of the Shanghai composite index,that is,the bad news brings the stock price the impact is greater than the impact of good news.In this paper,the asymmetry of the stock price of China Life Insurance Company found that the company's stock price rate of return does not exist "leverage",that is,China Life's stock price for bad news.There is no significant difference in the volatility.The GARCH-M model can explain the size of investor speculation,that is,a measure of the relationship between an investor's expected rate of return on assets and the risk that can bear.A noteworthy conclusion is that China Life Insurance Company Key parameters show that its investors on the rate of return on assets and the risk does not exist a positive relationship.Then the VaR at different levels of confidence is calculated.Based on this,the risk of listed insurance companies is analyzed qualitatively and quantitatively and the volatility is studied.Finally,some valuable values are obtained from the analysis Judgments,expectations of investment insurance companies to play a positive reference to the role of investors.