Insurance market volatility: case of Serbia

Minović, Jelena and Simeunović, Ivana and Zdravković, Aleksandar (2009) Insurance market volatility: case of Serbia. In: Business Opportunities in Serbia : the case of Italian business sector and the role of management education. Belgrade Banking Academy and Institute of Economic Sciences, Belgrade, pp. 203-209. ISBN 978-86-9852-025-9

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Abstract

This paper presents empirical analysis of volatility for insurance sector in Serbia. Generally speaking, the Serbian insurance sector is very small, undeveloped and also in the state of transition, regarding period observed in analysis (from 2007 to 2009). In this analysis we applied univariate GARCH models on daily data for two stocks listed at the Belgrade Stock Exchange (www.belex.rs), Dunav Insurance Company (DNOS), and Globos Insurance Company (GLOS). We examine volatilities of these insurance companies stocks over time. However, we found that volatility of insurance companies stocks in Serbia is infinite. In general, results of our analysis confirm that Serbia is a country with relatively low per capita income and very high volatility (risk), especially in insurance sector.

Item Type: Book Section
Additional Information: COBISS.SR-ID: 1024342672
Uncontrolled Keywords: insurance, volatility, conditional standard deviation, GARCH model
Subjects: H Social Sciences > H Social Sciences (General)
Depositing User: Users 7 not found.
Date Deposited: 06 Aug 2015 07:57
Last Modified: 20 Feb 2017 12:59
URI: http://ebooks.ien.bg.ac.rs/id/eprint/163

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