关键词: 银行保险,财富效应,事件分析法,GARCH模型

Abstract: Along with the relaxation of China’s financial regulatory policies and the acceleration of interest rate liberalization, the integration between banks and insurance companies has been gradually deepened. This paper takes the events of banks merging or acquiring insurance companies during the period of 2009-2013 as its research objects. On the base of event-study analysis, it employs GARCH model to explore the wealth effect generated by such mergers and acquisitions and its micro influencing factors. The results show that there are significant differences in the wealth effects generated by different mergers and acquisitions. The increase of the relative size of the target enterprises, the premium growth rate of insurance companies and the increase rate of operation revenue of banks would lead to the fall of the wealth effects, while the bank charges, the growth rate of commission net income and the capital adequacy ratio are positively correlated with the wealth effect.

Key words: bank insurance; the wealth effect; event-study analysis; GARCH model