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

Autor:	Luca Spataro, Ashok Thomas, Nanditha Mathew
Rok vydání:	2014
Předmět:	Pension Financial economics Institutional investor jel:C23 Probit Passive management Global assets under management jel:G23 jel:G14 Negative relationship Pension funds Stock market volatility Panel data Economics Bond market General Economics Econometrics and Finance Finance Panel data
Zdroj:	Journal of Financial Stability. 11:92-103
ISSN:	1572-3089
DOI:	10.1016/j.jfs.2014.01.001
Popis:	The paper explores the empirical relationship between the share of pension fund s’assets invested in stocks and stock market volatility in OECD markets. For this purpose, by using panel data of 34 OECD countries from 2000 to 2010, we estimate both a random effects panel model and a Prais-Winsten regression with panel corrected standard errors and autoregressive errors. The econometric estimation documents that there is a significant negative relationship between the share of pension funds assets invested in stocks and stock market volatility in OECD markets. The binary Probit and Logit models further validate the argument that pension funds as institutional investors can dampen stock market volatility.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::16088dcd4028e4b136626f9df2d2823a https://doi.org/10.1016/j.jfs.2014.01.001 Zobrazit plný text záznamu Full Text from ScienceDirect