한국 보험업지수 구분에 관한 연구: 손해보험업지수와 생명보험업지수의 개발과 제안

In this paper, we examine whether the current insurance industry index of Korea Exchange(KRX) is appropriate as an index representing the non-life and life insurance business. In the case of the U.S., the life insurance industry index was released in 1987, and the industry index for the life insurance, non-life insurance and the integrated insurance were released separately in 1992. The results of an analysis to verify whether the current KRX insurance industry index represent the Korea’s non-life and life insurance industry properly by using Granger causality test and VAR model are summarized as follows. First of all, this study developed and proposed the new index which subdivides into the non-life insurance industry index and the life insurance industry index. The result from the Granger causality test shows that there is no causal relationship between the non-life insurance industry index and KRX insurance industry index statistically. Based on the result, it is analyzed that the KRX insurance industry index does not represent the Korea’s non-life insurance industry index. Second, the results of VAR model estimation also confirm that the KRX insurance industry index is not suitable for representing both the non-life and life insurance industry index. As a result, the KRX insurance industry index currently announced by the Korea Exchange has limits in representing both the non-life and life insurance industry in Korea, and this study implies the necessity to develop and publish them separately in the Korean stock market.