Are life insurance futures a safe haven during COVID-19?

Financial Innovation

Table 4 Johansen cointegration test

Insurance company	Lags	H₀	Trace test	Max. Eigenvalue test	\(\varvec{b}_{1}\)	\(\varvec{b}_{2}\)
HDFC	8	None	37.748***	28.257***	0.637***	0.007***
HDFC	8	At most 1	9.491***	9.491***	0.637***	0.007***
ICICI	8	None	10.528	5.731	0.786***	− 0.003***
ICICI	8	At most 1	4.797**	4.797**	0.786***	− 0.003***
SBIL	5	None	13.106	10.333	0.399***	0.005
SBIL	5	At most 1	2.773	2.773	0.399***	0.005
TWN	5	None	14.354	12.483	0.670***	− 0.033***
TWN	5	At most 1	1.871	1.871	0.670***	− 0.033***

The notation "***" and "**" represent 1% and 5% significance levels, respectively