Research on the China Insurance Company’s Investment of Stock Index Futures
|School||Zhejiang Technology and Business University|
|Keywords||stock index futures hedging insurance investment insurance innovation|
In the continuous develop process of financial market, the proportion the insurance funds in the capital market occupied also increased year by year. By the end of2013, the balance of the insurance funds amounted to4.8trillions,10times more than the end of the year2001by3703billions.Underwriting business and investment business are known as the two wheels of the development of the insurance industry. Due to the requirement of profession, more and more insurance companies tend to set up insurance asset management company to manage the operations of insurance investment funds, insurance institutionas become important institutional investors in stock market.With the development of the economy, China’s insurance companies are increasing in numbers and expanding the scale. The insurance rates have declined with the competitions becoming increasingly fierce.How to develop the insurance investment and ensure the income of insurance investment has become an important weight of the survival and the development of the insurance company.Today the launch of stock index futures, the China capital market has entered a new era,"short"making money has become a reality, although the insurance funds has not been allowed to directly participat in stock index futures,the influence it brings to the insurance company will be huge.First this paper explains the concept of derivative financial instruments and insurance company,laying the theoretical foundation of the use of derivative financial instruments.Second the paper interpretats the insurance investment theory and discusses the use of these theories in the fields of insurance investment.Then we review the development of stock index futures. By comparing the domestic and foreign development and present situation of insurance investment,the Similarities and differences are clear.By using Grainger Granger causality test,we found that the fluctuation of the stock market has influence on the investment income of insurance companies, so as to prove the necessity of insurance institutions to invest in stock index futures hedging.Finally we use the stock index futures for empirical research. With using traditional OLS model for data processing and analysis,we concluded the optimal hedge ratio of the investment of stock index futures.Based on the review of the history of China’s financial derivatives market development,the change of insurance investment in China in recent years and the comparison with the developed countries such as Japan America, we discuss the necessity of the docking by the insurance industry with the financial derivatives market.