ABSTRACT
This study aims to examine whether life insurance futures can serve as a hedge against the COVID-19 pandemic and whether they have the characteristics of a safe haven under the impact of the health shocks of the COVID-19 pandemic. We chose three life insurance stock futures in India and one in Taiwan as samples, including the market index of the two countries and the number of confirmed COVID-19 cases as sample variables. We used the growth rate of COVID-19 cases as the threshold variable, estimated the asymmetric threshold vector autoregression model, and found that insurance futures in the regime with a significant growth rate of confirmed COVID-19 cases can hedge against COVID-19 risks; therefore, insurance futures are a safe haven for the market. We further estimated the time-varying parameter vector autoregression model, and the impulse response results showed that insurance futures are a safe haven for COVID-19 pandemic risks.