Dissertation > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market

Research on Life Insurance Investment Strategy Based on the Cyclical Fluctuation of China’s Capital Market

Author GeMingQing
Tutor RenYanYan
School Shandong University
Course Insurance
Keywords Capital market periodicity Life insurance industry HP filter Investmentstrategy
CLC F832.5
Type Master's thesis
Year 2013
Downloads 46
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As one of the institutional investors, insurance companies are the most important participants in the capital markets, and constitute as an important part of the financial system with the capital market. Life insurance companies are important financial institutions that own both economic security features and the financial services. Along with financial globalization trends, the life insurance industry makes innovation in products, services and organizational structure. With the development of new life insurance products and the expansion of life insurance services diversity, insurance companies enhance their functions as the financial services institutions constantly, and also become one of the largest and most influential institutional investors in the capital market. This status makes higher demand for life insurance investment. Life insurance investment has become an important activity as much as underwriting business in the life insurance industry, so that it has gradually become a pillar that can compensate for underwriting business losses and create profits in the developed countries and regions.Currently, the decline of China’s listed companies’ overall benefits and investment return to shareholders brings a great deal of risks and even loss to the investors. This abnormal phenomenon exists for a long time because the structure of China’s capital market investors are scattered, few institutional investors and too much retail investors bring excessive volatility to the market. Therefore, in order to promote capital market development and maturity, we must strive to foster institutional investors, and the life insurance industry is exactly an important part of this activity. The perfection of capital markets also needs the life insurance industry’s participation and support.On the basis of combing capital market fluctuations cycle theory and life insurance funds investment strategy research, this paper, fully draw on previous research, analyze the relationship of capital market cyclical fluctuations and life insurance investment, use HP filter method to select the Price-eamings ratio and the A-share market value of monthly data, and then detect whether the China’s capital market fluctuation periodicity exists andquantify its size; through the VAR analysis between life insurance funds (premiums, claims, operations management fees) and Chinese A shares of capital market value fluctuations sequence over the same period from1999to2012, this paper also empirically test the dynamic causal relationship between the cyclical fluctuations of China’s capital market and life insurance funds; according to the empirical results, drawing on the experience of life insurance investment structure in developed countries, such as British and American, Japan, discussing China’s capital market cycle fluctuation’s effect on the life insurance funds, the paper analyze China’s life insurance capital utilization and investment structure strategy, and then summary conclusion and make feasible policy recommendations in the last.Because existing literatures on the capital market cycle fluctuation and life insurance investment strategies confine their study to their respective areas of qualitative research, the possible innovations of this paper is that through using advanced econometric methods, establishing VAR model, the author empirically analyze the capital market cycle fluctuation and its effect on life insurance investment from a quantitative point of view. Learning from life insurance funds investment structure of developed countries, such as America, England, and Japan, this article discuss the use of life insurance funds and investment strategies in China’s capital market cycle fluctuations. However, due to the limit of the life insurance investment data, combined with the late start of China’s life insurance industry and other objective reasons, this article does not use data perfectly, and it makes some impacts on the results of the analysis.

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