The stabilizing effects of pension funds vs. mutual funds on country-specific market risk

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management Pub Date : 2021-06-01 DOI:10.1016/j.mulfin.2021.100691

Wenjun Xue , Zhongzhi He , Yu Hu

引用次数: 4

Abstract

Using country-level data on 47 global markets, this paper examines the stabilizing effects of pension funds vs. mutual funds on country-specific market risk. We find that mutual funds have a significantly negative effect on idiosyncratic volatility in developed markets, but this role becomes insignificant in emerging markets. In contrast, pension funds significantly reduce country-specific market risk in both developed and emerging markets, with a much stronger stabilizing effect. The prudence of pension funds subsumes the macrofactor effects on market risk and drives away the effects of mutual funds in emerging markets. Our results suggest that the steady growth of pension funds can be a viable strategy to improve a country’s financial health, especially for emerging markets.

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养老基金与共同基金对特定国家市场风险的稳定作用

本文利用全球47个市场的国家级数据，考察了养老基金与共同基金对特定国家市场风险的稳定效应。我们发现，共同基金对发达市场的特殊波动率有显著的负面影响，但这种作用在新兴市场变得微不足道。相比之下，养老基金在发达市场和新兴市场都显著降低了特定国家的市场风险，具有更强的稳定作用。养老基金的审慎性包含了宏观因素对市场风险的影响，并驱走了共同基金在新兴市场的影响。我们的研究结果表明，养老基金的稳定增长可能是改善一个国家金融健康状况的可行策略，尤其是对新兴市场而言。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Multinational Financial Management BUSINESS, FINANCE-

CiteScore

7.30

自引率

4.80%

发文量

审稿时长

30 days

期刊介绍： International trade, financing and investments have grown at an extremely rapid pace in recent years, and the operations of corporations have become increasingly multinationalized. Corporate executives buying and selling goods and services, and making financing and investment decisions across national boundaries, have developed policies and procedures for managing cash flows denominated in foreign currencies. These policies and procedures, and the related managerial actions of executives, change as new relevant information becomes available. The purpose of the Journal of Multinational Financial Management is to publish rigorous, original articles dealing with the management of the multinational enterprise. Theoretical, conceptual, and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • Foreign exchange risk management • International capital budgeting • Forecasting exchange rates • Foreign direct investment • Hedging strategies • Cost of capital • Managing transaction exposure • Political risk assessment • International working capital management • International financial planning • International tax management • International diversification • Transfer pricing strategies • International liability management • International mergers.