Evaluating the Financial Performance of Pension Funds (Directions in Development)

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    Souq | Evaluating the Financial Performance of Pension Funds (Directions in Development) | UAE

    John Wiley and Sons Inc. Investment performance of privately managed pension funds: Overview of the available data. Evaluating the Financial Performance of Pension Funds pp. The dynamics of emerging stock markets: Empirical assessments and implications.

    Residual life time at great age. Annals of Probability, 2 5 , Capital market equilibrium with restricted borrowing. The Journal of Business, 45 3 , Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31 3 , Modeling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH model.

    The Review of Economics and Statistics, 72 3 , Pitfalls in tests for changes in correlations. International Finance Discussion Papers, , March. Increased correlation in bear markets. Financial Analysts Journal, 58 1 , Bolsa de Valores e inversiones de AFP. Extreme Contagion in Equity Markets. IMF Staff Papers, 51 2 , Dependence measures for extreme value Analysis.

    Extremes, 2 4 , Revisiting the dependence between financial markets with copulas, Working Paper. Which copula is the right one? Berlin Heidelberg New York: Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation.

    Econometrica, 50 4 , A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics, 20 3 , Limiting forms of the frequency distribution of the largest or smallest member of a sample. Proceeding of Cambridge Philosophical Society, 24, Contagion in Latin America: Definitions, measurement, and policy implications. No contagion, only interdependence: Measuring stock market comovements. The Journal of Finance, 57 5 , Extreme value theory and value-at-risk: Relative performance in emerging markets.

    International Journal of Forecasting, 20 2 , On the relation between the expected value and the volatility of the nominal excess return on stocks.

    Journal of Finance, 48 1 , Performance measurement without benchmarks: An examination of mutual fund returns. The Journal of Business, 66 1 , Time-varying correlations and optimal allocation in emerging market equities for Australian investors: A study using East European depositary receipts.

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    The recent financial crisis has highlighted the need to establish meaningful in developing more useful and meaningful performance measures through the formulation Evaluating the Financial Performance of Pension Funds concludes with. Richard; Rudolph, Heinz P.; Antolin, Pablo; Yermo, Juan. Evaluating the Financial Performance of Pension Funds. Directions in Development ; finance.

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    Journal of Empirical Finance, 7, Journal of Economics, Finance and Administrative Science, 15 29 , Modelling Asymmetric Exchange Rate Dependence. International Economic Review, 47 2 , Emerging market pension funds and international diversification. Pickands, James, III Statistical inference using extreme order statistics.

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    Annals of Statistics, 3 1 , Extreme value dependence in financial markets: Diagnostics, models, and financial implications. The Review of Financial Studies, 17 2 , On the measurement of the international propagation of shocks.

    Punto de Equilibrio, 79, Bivariate extreme statistics, I. Annals of the Institute of Statistical Mathematics, 11 2 , A multivariate generalized autoregressive conditional heteroscedas-ticity model with time-varying correlations. Services on Demand Article. English pdf Article in xml format Article references How to cite this article Automatic translation Send this article by e-mail. Contagion, copula, extreme value theory, portfolio. G11, G23, G28, G32 Introduction Both pension funds managers and regulators could expect that relaxing the limits of foreign investment improves the management of portfolio, but really does releasing foreign investment bounds improve the performance of pension funds?

    Antecedents In , the Superintendencia de Banca, Seguros y Administradoras Privadas de Fondos de Pensiones SBS - the Peruvian financial sector regulator - announced its decision to raise the foreign investment bounds in pension funds portfolios 1. The optimal portfolio This section estimates the optimal portfolio using weekly data. Determined the returns distributions, we are able to apply the correlation definition, obtaining: It could be demonstrated that, if the unconditional correlation coefficient is p, the conditional is given by the dynamic shown in equation 6: The extreme events and the stocks markets Many financial market meltdowns, originated in a specific country, have crossed the borders and triggered a hectic period in global markets.

    The contagion, from the market 1 to the market 2, is defined as: If S and T are distributions in common scale, the nonparametric measure is given by: The estimation of parameters follows McNeil and Frey suggestion, these authors stated that "the application of these methods is facilitated by the approximate independence over the time of the residuals": The evaluation The Superintendent-Adjoint stated, November 16th, , that: Conclusion In this paper, the supervisor's proposal to step up the foreign investment bounds is analyzed.

    In the first step of establishing the lag length unrestricted Vector Auto Regression estimation was undertaken in order to come up with an appropriate lag length to be used when establishing cointegration among the variables. A lag length of four was selected as an appropriate based on the sequential modified LR test statistic, Final predictor error, Akaike information criteria and Hannan- Quin information criteria all of Eviews 7. The Johansson Cointegration test was done for the Stock market capitalization dependent variable and pension fund investment as independent variables.

    A cointegration exists if the trace statist value is more than the critical value. The results for Johansson cointegration test in Table 3 shows that there is cointegration as trace statist value of 5. This indicates that there is a long run relationship between stock market capitalization and pension fund investment. Since the variables have a long rung relationship.

    JEL classification

    The long run cointegrating equation was estimated using Vector Error Correction and the results is presented in Table 4. Cointegration rank trace test analysis results. VEC cointegration equation results. From the equation, it was observed that that holding pension Investment to a constant zero, Market Capitalization will be , A unit increase in Investment will lead to an increase in Market Capitalization by 9.

    Internal System Error

    This result is comparable to Meng and Pfau [2] and Thom [5]. This research investigated the effect of pension funds investment on the Stock market performance in Zambia. By employing the cointegration and Vector Error Correction, the results indicate that there is a long run relationship between the pension funds and the market capitalization.

    This relationship means that if pension funds invest more in equity, it will contribute to the growth of Lusaka Stock exchange. Journal of Applied Social Studies, , Doctoral Dissertation, Stellenbosch University, Stellenbosch. Review of Economic and Business Studies, 9, Oxford University Press, Oxford.

    The paper is not in the journal. Nsama Musawa , Clement Mwaanga. As of it had only 22 listed companies with the market capitalization of about million dollars. There are a number of sectors that contribute to the growth of the stock market in Zambia.

    Evaluating the Financial Performance of Pension Funds

    This study focused on the insurance sector, the pension funds mobilized contributions from the working population and invested in various assets among them is equity. Hence, one would expect pension funds to have a good effect on the Zambian capital market. However the impact cannot be conclusive without undertaking a study to assess the effect of pension funds and capital market.

    The study used quarterly data for the period ranging from January to December , and employ ed the cointegration and Vector Error Correction ; the results prove the existence of long run relationships between the pension funds and the market capitalization. This relationship implies that if pension funds are encouraged to invest more in equity, it will contribute to the growth of capital market, hence developing.

    Recommendations have been made to policy markers on how they can use the sector to improve the performance of the capital market.