scholarly journals Herd behavior of pension funds in sovereign bond investments

2021 ◽  
pp. 1-27
Author(s):  
Ian Koetsier ◽  
Jacob A. Bikker
Keyword(s):  
Financial Market ◽  
Pension Fund ◽  
Debt Crisis ◽  
Pension Funds ◽  
Bond Market ◽  
Herd Behavior ◽  
Monthly Data ◽  
Sovereign Bond ◽  
Sovereign Bonds ◽  
European Debt Crisis

Abstract This study investigates herd behavior exhibited by pension funds in the sovereign bond market before, during and after the European debt crisis. It uses unique monthly data on sovereign bond holdings of pension funds and transactions between December 2008 and December 2014. The dataset covers 67 large Dutch pension funds that invest in bonds from 109 countries. We find evidence of intensive herd behavior of Dutch pension funds in sovereign bonds. We also distinguish between European countries which suffer from the European debt crisis, such as Cyprus, Greece, Ireland, Italy, Portugal and Spain, and those that have not. We find high sell herding and low buy herding for the crisis countries during the European debt crisis, whereas in the non-crisis period their herd behavior does not differ substantially from that in non-crisis countries. When we control for institutional, macroeconomic, financial market and pension fund factors, sell herding in crisis countries is still significantly higher. However, we find no evidence of destabilizing behavior with respect to bonds of crisis countries during the European debt crisis.

scholarly journals Herding in Chile: the case of equity trading in the Chilean pension fund market

2020 ◽  
Vol 18 (1) ◽  
pp. 23
Author(s):  
Roberto Stein ◽  
Pedro Miranda ◽  
Rodolfo Risco
Keyword(s):  
Performance Evaluation ◽  
Stock Market ◽  
Pension Fund ◽  
Equity Markets ◽  
Pension Funds ◽  
Herd Behavior ◽  
Equity Trading ◽  
Money Managers ◽  
Two Measures ◽  
The Stability

The phenomena of ‘herding’ or herd behavior can have important effects when it manifests in equity markets as co-movement in trades of institutional money managers. On one hand, the assetsunder management are so large in comparison with the size of themarket that the trades of these managers affect asset prices, evenmore so if many managers trade in the same direction. On the otherhand, commissions and fees paid by investors are supposedly leviedin exchange for an expert management of the investors’ capital.Thus, a manager that simply imitates the behavior of others does notadd value with her work. The present study is the first to report theresults of two measures of herding used to study this phenomenon inthe equity portions of Chilean AFP (pension) funds. One measure isthe widely used Lakonishok, Vishny y Shleifer (1992) metric, theother is a relatively newer measure presented in Sias (2004). Using adataset of monthly fund trades during the period 2003-2011, bothmeasures find herding in the Chilean market which, while moderatein intensity, is still higher than that reported in the stock markets ofdeveloped countries. More interesting is the asymmetry of results:herding is stronger during times of market crisis, and almostdisappears during periods when the economy expands. These resultshave important implications for performance evaluation and valueadded of the pension funds managed by the AFPs, as well as theimpact of their trades in the stability of the stock market.

scholarly journals Determinant of Islamic Pension Fund In Indonesia

2019 ◽  
Vol 3 (1) ◽  
pp. 68
Author(s):  
Roikhan Mochamad Aziz ◽  
Acep R. Jayaprawira ◽  
Sulistyowati Sulistyowati
Keyword(s):  
Financial Institutions ◽  
Financial Services ◽  
Pension Fund ◽  
Financial Institution ◽  
Pension Funds ◽  
External Factors ◽  
Third Party ◽  
Analysis Method ◽  
Internal Factors ◽  
Monthly Data

The research aims to know the variables that affect the assets of Pension Funds by Financial Institutions (DPLK, Pension funds by financial institution) Muamalat, which is the performance of Bank Muamalat as internal factors that described in the variable Profit of Bank Muamalat and third-party funds. The external factors are Bank Indonesia Sharia Certificates (SBIS, Sertifikat Bank Indonesia Syariah) as an indicator of the placement of Islamic funds, and profit of DPLK Muamalat as a religious factor.The method used in this research is done by Multiple Correlation Regression Analysis with monthly data starting from April 2008 (since the existence of SBIS) until October 2017. Moreover, Analysis Method of HahSlm Theory is added which is an analysis that approached according to Islamic thinking model to provide a benchmark that corresponds to the religious value.The final result of this study emphasizes that all factors, which consist of the internal factors, external factors and religious factors, affect the assets of DPLK Muamalat. It is interesting to know that the profit of Bank Muamalat has a negative correlation. That is certainly not in accordance with the existing theory that performance or credibility of the main business (Bank Muamalat) has a big influence on the performance of DPLK Muamalat. It is expected that the results of the research is useful for every party, from the regulator party like the Financial Services Authority (OJK, Otoritas Jasa Keuangan), the industrial parties (the other DPLK), the company, and the participants of the Pension Funds by Financial Institutions.

Coming to Terms: The Politics of Sovereign Bond Denomination

2021 ◽  
pp. 1-38
Author(s):  
Cameron Ballard-Rosa ◽  
Layna Mosley ◽  
Rachel L. Wellhausen
Keyword(s):  
Developing Country ◽  
Foreign Currency ◽  
Government Debt ◽  
Bond Market ◽  
Domestic Currency ◽  
Critical Part ◽  
Sovereign Bond ◽  
Sovereign Bonds ◽  
Bond Issues ◽  
Equal Right

Abstract Governments interact strategically with sovereign bond market creditors: they make choices not only about how often and how much to borrow, but also under what terms. The denomination of debt, in domestic or foreign currency, is a critical part of these terms. The “original sin” logic has long predicted that creditors have little appetite for developing-country government debt issued in domestic currency. Our novel data, including bond issues by 131 countries in 240,000 primary market transactions between 1990 and 2016, suggest otherwise. Domestic-denominated bonds have come to dominate the market, although domestic-currency issuance often is accompanied by shorter bond maturities. We argue that ideologically rooted policy preferences play an important role in this unexpected trend in denomination. All else equal, right governments choose foreign denomination as a means of mitigating currency risk and thus minimizing borrowing costs. In contrast, left governments opt for the flexibility of domestic denomination, and they are better able to act on their preferences in the presence of risk-mitigating monetary institutions and macroeconomic stability. We find support for our argument that partisanship has a robust and enduring relationship with denomination outcomes, even in a marketplace in which domestic-denominated developing-country sovereign bonds have become the norm.

Sovereign bond market dependencies and crisis transmission around the eurozone debt crisis: a dynamic copula approach

2018 ◽  
Vol 50 (47) ◽  
pp. 5031-5049 ◽  
Author(s):  
Stelios Bekiros ◽  
Shawkat Hammoudeh ◽  
Rania Jammazi ◽  
Duc Khuong Nguyen
Keyword(s):  
Debt Crisis ◽  
Bond Market ◽  
Sovereign Bond ◽  
Dynamic Copula ◽  
Copula Approach

scholarly journals Credit Pit Detection in Subordinate Securities: A French Perspective

2019 ◽  
Vol 18 (3) ◽  
pp. 65-85
Author(s):  
Sfoorti Jain
Keyword(s):  
Neural Network ◽  
Artificial Neural Network ◽  
Predictive Model ◽  
Financial Market ◽  
Debt Crisis ◽  
Financial Instruments ◽  
Credit Crisis ◽  
Sovereign Bonds ◽  
Volatility Index ◽  
Huge Impact

The purpose of this research is to prepare a predictive model for identifying credit crisis using an artificial neural network. The paper also aims to find out the driver and driven relationship between various financial instruments like CDS, FRA, IRS, and the Volatility index (VCAC) and government securities for France. The model, thus, is directed towards finding a threshold for credit pit events and linking various events corresponding to that dates where the threshold is breached to validate the accuracy and usefulness of the model. From the research, it is found that for France, the CDS-FRA-VCAC model derives the threshold for VCAC to indicate the probability of credit crisis or financial market crash. It is also found that sovereign bonds have a huge impact on France economy including various derivatives. This is probably why the Eurozone debt crisis impacted France much more than the 2008 financial crash.

Schweizer Wald als Geldanlage: Win-win-Strategie für Waldwirtschaft und Pensionskassen? (Essay) | Swiss forest as an investment opportunity: a win-win situation for both the forestry sector and pension funds? (Essay)

2011 ◽  
Vol 162 (2) ◽  
pp. 27-31
Author(s):  
Daniel Häuptli
Keyword(s):  
Value Chain ◽  
Pension Fund ◽  
Pension Funds ◽  
Literature Analysis ◽  
Forest Land ◽  
Investment Opportunity ◽  
Existing Problems ◽  
Monetary Value ◽  
Forestry Sector ◽  
The One

Could there be a win-win situation for both pension funds and the Swiss forestry sector? On the one hand, developments in the forestry sector suggest that the Swiss forest presents a new lucrative investment opportunity. If this is so, then pension funds could be particularly interested, as the low correlation between Swiss forest and other classes of investment, and the long investment periods involved are ideal for pension fund portfolios. On the other hand, large investments made by pension funds could mean that existing problems in Swiss forestry, in connection with its fragmented nature, could be more rapidly solved, and the potential for rationalization in the wood value chain could be fully realized. This would in turn make investments in the forest even more profitable. This hypothesis was investigated through a comprehensive literature analysis, yield calculations for private forestry enterprises of over 50 ha made by the Swiss Federal Office for Statistics 2004–2008, and an interview with the investments director of a large Swiss pension fund. Despite the optimistic assumption that the greater efficiency gained by the investment of pension funds into the forestry sector could lead to costs lower by 50% and a 20% increase in profits, the hypothesis must be rejected, because a calculated annual return of only 0.82% is too low for pension funds. The conclusion is that the price for forest land is high, and forest owners are not only interested in the monetary value of holding forest. Other immaterial values influence prices. It is suggested that a greater emphasis on socioscientific studies concerning the link between the price of forest land and the motivation to buy and sell forest could lead to some important findings.

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