Pension funds and stock market volatility: An empirical analysis of OECD countries

Thomas, Ashok; Spataro, Luca; Mathew, Nanditha

doi:10.1016/j.jfs.2014.01.001

Cited by 78 publications

(57 citation statements)

References 83 publications

(75 reference statements)

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“…Econometric modelling, asset-liability modelling, simulation, and similar modelling methodologies are implemented when it is needed to describe relations between relevant variables, forecasting not only pension fund's financial and monetary value in the future but also macroeconomic variables, social factors, demographic tendencies, political stability, globalisation, and external vulnerability as well (Heer & Irmen, 2014;Mielczarek, 2013;Thomas, Spataro, & Mathew, 2014). For the estimation of pension systems performance, the comparative study can be carried out in order to draw conclusions on a regional level and provide a basis for further analysis of certain countries situations.…”

Section: Related Workmentioning

confidence: 99%

The risk–return profile of Lithuanian private pension funds

Kabašinskas

Šutienė

Kopa

et al. 2017

Economic Research-Ekonomska Istraživanja

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The introduction of a private pension funds in conjunction with the public social security system is the essence of pension system reform that was implemented in Lithuania. The performance of private funds is mainly presented by fund's net asset value and few classical risk estimates. Such evaluation shows the management company's ability to profitably invest funds, but does not give the evidential riskreturn evaluation. This paper refers to the overall statistical analysis of 26 private pension funds over a certain time period. The objective of the research is to determine the risk-return profile of pension funds and to answer the question whether the categories specified based on investment strategy in equities reflect fund's empirical behaviour. Research methodology includes the statistical analysis, risk measuring, performance ratio estimation, and K-means clustering. The conclusions obtained by the research allow determining whether the distinct pension funds have beaten a low risk reference and are adequately assigned to a certain risk category.

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Section: Related Workmentioning

confidence: 99%

The risk–return profile of Lithuanian private pension funds

Kabašinskas

Šutienė

Kopa

et al. 2017

Economic Research-Ekonomska Istraživanja

View full text Add to dashboard Cite

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“…The explanatory variable capturing the effect of pension fund investment in equities on stock market development is the ratio between the pension fund assets invested in equities and the total pension fund investment in each country (Thomas, Spataro, & Mathew, 2014). As control variables, we include three market and two economic variables.…”

mentioning

confidence: 99%

“…The market return captures the performance of the market, which is calculated annually from the daily market index prices. The market volatility captures the impact of the market fluctuation on stock market development (Thomas et al, 2014). Market volatility is measured as the annual risk of the daily market return.…”

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confidence: 99%

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The relationship between pension funds and the stock market: Does the aging population of Europe affect it?

Alda

2017

International Review of Financial Analysis

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In recent decades, pension fund investment has increased rapidly because of population aging and growing doubts about the viability of western public pension systems. As a result, pension funds have become dominant in stock markets. This paper examines the influence of the pension fund assets invested in equities on stock market development and the market efficiency of 13 European countries, from 1999 to 2014. Our results vary by country, by pension model and among the one-model countries. Nevertheless, revealing a concern about saving for retirement. Finally, our efficiency analysis reveals that the influence of pension funds varies over time and across markets, due to arbitrage opportunities that provoke adaptive managerial strategies.

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“…It is important to highlight, that while the riskiness is more or less regulated (Broeders, Chen, 2013; Thomas et al 2014), an interesting question remains how to measure the performance of the fund and its rate of return. All previous analyzes computed directly performance measures from available actual data (f.e.…”

Section: Introductionmentioning

confidence: 99%