صندوق های بازنشستگی و نوسانات بازار سهام : تجزیه و تحلیل تجربی از کشورهای سازمان همکاری و توسعه

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.

Pension funds (PF henceforth) have accumulated large amounts of assets over the years in most of the OECD countries (see Table 1). With increasing ageing population and less reliance on pay-as-you-go public pensions, in many developed economies the size of complementary social security is expected to increase even further in the future. Table 1. Assets managed by PF as a share of GDP and of total assets held by institutional investors (in parenthesis) of selected OECD countries over the period from 2001 to 2010, selected years (% values). Country 2001 2005 2008 2010 Australia 75.29 (47.19) 80.38 (50.48) 93.00 (52.82) 90.94 (56.91) Canada 52.48 (42.19) 58.15 (40.62) 51.43 (39.96) 64.65(39.49) Chile – (60.80) 59.35 (63.52) 52.76 (59.04) 66.97 (61.46) Denmark 27.18 (34.80) 33.70 (29.49) 47.54 (32.96) 49.71 (31.58) Germany 3.44 (52.04) 4.03 (51.99) 4.73 (52.51) 5.14 (49.26) Iceland 83.96 (78.39) 119.57 (70.13) 114.05(82.71) 123.91 (81.89) Israel 25.10 (–) 34.01 (25.64) 42.80 (36.89) 48.94 (34.53) Italy 2.24 (1.73) 2.79 (1.60) 3.41 (2.08) 4.57 (2.48) Netherlands 102.61 (55.11) 121.72 (59.43) 112.72 (59.65) 128.51 (50.41) Switzerland 102.45 (44.75) 117.02 (42.90) 101.15 (39.17) 113.72 (37.92) United Kingdom 72.00 (35.82) 78.63 (36.89) 64.29 (34.97) 88.68 (37.59) United States 71.51 (39.67) 74.84 (38.64) 57.92 (33.91) 72.67 (35.97) Source: OECD Global Pension Statistics, Institutional Investor Statistics. Table options The shift from the traditional defined-benefit (DB) scheme to the defined-contribution scheme (DC) since the early 2000s is one of the main features characterizing the recent growth path of PF. Such a shift has been primarily originated by the dramatic changes both in the industrial structure and in the labor markets triggered by the globalisation, which have led both capital and workforce to be increasingly mobile. As a consequence, many countries have implemented reforms aiming at coping with the deterioration in the funding of DB pension plans and with some longstanding concerns regarding the effect of complex, opaque pension accounting methods. Thanks to such a growth, not only will PF grant a significant share of the old-age retirement income, but they are currently playing as important institutional investors in most of the OECD countries. For example, the share of assets managed by occupational PF as a percentage of GDP in the last decade has grown from 15% to 31%, despite in the same period two intense crises have affected the financial markets of these economies. Given such an unprecedented scenario, the analysis of the effects of the aforementioned trend on financial markets is a crucial issue. In particular, in this paper we aim at assessing the role of PF investments in shares on the stock market volatility. Earlier literature has highlighted that PF can be beneficial to financial development1 through different channels: (1) PF long term planning horizon favors more efficient and innovative investment opportunities (Davis, 1995, Vittas, 1996, Meng and Pfau, 2010 and Rocholl and Niggemann, 2010); as for developing economies, see (Catalan et al., 2000, Impavido and Musalem, 2000, Walker and Lefort, 2002 and Impavido et al., 2002). (2) PF may stimulate both private and national savings (Schmidt-Hebbel, 1998, Kohl and O’brien, 1998, James, 1998, Bailliu and Reisen, 1998, Murphy and Musalem, 2004, Rezk et al., 2009 and Antón et al., 2011) (3) PF may boost economic growth via improved corporate performance2 (Myners, 2002, Coronado et al., 2003 and Clark and Hebb, 2004) and improve the performance of firms (Guercio and Hawkins, 1999). (4) PF can influence the stock prices and equity market volatility. The analysis of the last channel is the focus of our paper, through which we aim to add new empirical evidence by testing whether volatility diminishes as PF increase their investments in stocks. More precisely we base our analysis on macro data and we focus on a panel of 34 OECD countries, from year 2000 to 2010. The work is organized as follows: Section 2 reviews the related literature on the role of PF on financial market volatility. Section 3 describes the dataset used in the empirical analysis. Section 4 presents the estimated empirical models and discusses their respective results. Section 5 concludes.

ConclusionThe pension fund industry has witnessed a significant growth inthe past few years and this phenomenal trend is likely to continuefor the coming decades. In this background, we studied the effectof investments of pension funds in stocks/equities on stock marketvolatility at macro level.Using panel data of 34 OECD countries from 2000 to 2010, weestimated the impact of pension fund assets invested in stocksand equities on stock market volatility by applying random-effectspanel model as well as a Prais–Winsten regression with panel-corrected standard errors and autoregressive errors. Our empiricalfindings using both models reveal that there is significant reduc-tion in volatility of stock prices when the investment of pensionfunds in stocks increases.The methodology revealed that the coefficient of averagevolatility is very high and thus the latter emerges as the mostsignificant variable influencing volatility of stocks. Hence, we alsofocused on the explanation of the amount of volatility observed ineach country above the level of average volatility due to the busi-ness cycle. For doing this we estimated both binary probit and logitmodels. The results of these models clearly show that the countriesin which pension funds invested in stocks have higher probabil-ity (around 16%) of witnessing lower volatility than the averagevolatility.Hence, in the light of our findings, consistent with other studiessuch as the one Walker and Lefort (2002) for emerging countries,we can conclude that the presence of pension funds in the stockmarkets is beneficial to the financial markets of OECD economies,since these institutional investors contribute to the reduction ofstock market volatility.As for the economic explanation of such a negative link betweenpension funds and market volatility, it is likely to be manifold: thelarge investors’ ability to access more information, thus restrainingprices from deviating too far away from fundamentals; the roleplayed by such large firms as marginal investors, along with theirpreference for a low-yield/less risky dividend stocks (as pointed outby Jain, 2007). We leave the analysis of this issue to future research.