Pension funds and Stock Market Volatility: An Empirical Analysis of OECD countries

Ashok Thomas, Luca Spataro and Nanditha Mathew

Discussion Papers from Dipartimento di Economia e Management (DEM), University of Pisa, Pisa, Italy

Abstract: 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.

Keywords: Pension funds; Stock market volatility; Panel data. (search for similar items in EconPapers)
JEL-codes: C23 G14 G23 (search for similar items in EconPapers)
Date: 2013-04-01
New Economics Papers: this item is included in nep-age
Note: ISSN 2039-1854
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Citations: View citations in EconPapers (3)

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Journal Article: Pension funds and stock market volatility: An empirical analysis of OECD countries (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:pie:dsedps:2013/162

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