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

被引：48

作者：

Thomas, Ashok ^{[1
]}

Spataro, Luca ^{[1
]}

Mathew, Nanditha ^{[1
]}

机构：

[1] Univ Pisa, Dipartimento Econ & Management, I-56124 Pisa, Italy

来源：

JOURNAL OF FINANCIAL STABILITY | 2014年 / 11卷

关键词：

Pension funds; Stock market volatility; Panel data; INSTITUTIONAL INVESTORS; SHAREHOLDER ACTIVISM; IMPACT; GROWTH; BEHAVIOR; INDIVIDUALS; INFORMATION; PERFORMANCE; INVESTMENT; OWNERSHIP;

D O I：

10.1016/j.jfs.2014.01.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The paper explores the empirical relationship between the share of pension funds 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 estimations document 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. (c) 2014 Elsevier B.V. All rights reserved.

引用

页码：92 / 103

页数：12

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