Empirical Analysis of Dynamic Correlation in China's Insurance Market and Capital Market

摘要

The paper uses Granger co-integration test and co-integration method to study the dynamic relationship between China's insurance market and capital market, the analysis find that the interest rate is Granger cause of insurance income, while the inflation rate, the Shanghai index and the industrial added value are not Granger cause of insurance income, in the long run, rising interest rates lead to the increase of the insurance income(3-5 months), the interest rate on the insurance income effect is positive, effect lasts about two years. China's insurance market and capital market linkage effects is not strong, the future of insurance funds should be committed to improving the alignment with the capital markets.