Time Series Analysis of Thai Flooding Effects on Japanese Insurance Companies

In this paper, we analyzed effects of the 2011 Thai flooding on Japanese economics, especially on the Japanese insurance companies. In 2011, the Japan economy was severely damaged by the great East Japan earthquake that happen on 11th March. To pay the insurance premium, Japanese major insurance companies were also damaged. In addition, the flood in Thai in Oct. also attacked the Japanese economy. When we analyzed the stock price movement by the random matrix approach, we found that two different type downfall effects on the insurance company named Sompo in Oct. The first effect is considered to be one by the earthquake and the latter, one by the Thai flooding. In Oct., the Sompo belonged to these two groups. Then in Nov., the effect by the Thai flood diminished and in Dec. Sompo was not the group member of the flood damaged group and appeared only in the group to which other major insurance companies belonged. In the paper we describe our approach to spot the difference on effects by between the East Japan earthquake and the Thai flood.



Author Information
Yuriko Yano, Gakushuin University, Japan
Yukari Shirota, Gakushuin University, Japan

Paper Information
Conference: IICSSHawaii2017
Stream: Economics and Management

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