scholarly journals The performance of dynamic and static investment strategies in pension funds

2020 ◽  
Vol 22 (3) ◽  
pp. 235-249
Author(s):  
Stevan Luković
Keyword(s):  
Financial Market ◽  
Pension Fund ◽  
Global Financial Crisis ◽  
Investment Strategy ◽  
Retirement Savings ◽  
Investment Strategies ◽  
Investment Returns ◽  
The Global Financial Crisis ◽  
Financial Outcome ◽  
Selection Of

The retirement savings process for the members of a pension fund involves regular contribution payments made by a member and/or his employer, and the investment earnings generated by following an investment strategy. After the Global Financial Crisis, the aspect of value preservation has become particularly important to members of a pension fund, thus affecting the selection of an investment strategy. In face of increasing fluctuations on the financial market, static lifecycle strategies have become an unsatisfactory solution for members of a pension fund given the absence of a response to shocks on the financial market. In the paper, a comparative analysis of the performance of dynamic and static lifecycle strategies is carried out using bootstrap resampling in order to simulate investment returns and VaR indicators so as to assess the risk of an adverse financial outcome at retirement. The results of the analysis indicate the fact that dynamic lifecycle strategies generate more favorable financial results than static lifecycle strategies do, with a slightly increased likelihood of generating extremely unfavorable outcomes.

scholarly journals Sugar Prices vs. Financial Market Uncertainty in the Time of Crisis: Does COVID-19 Induce Structural Changes in the Relationship?

Agriculture ◽  
2021 ◽  
Vol 11 (2) ◽  
pp. 93
Author(s):  
Pavel Kotyza ◽  
Katarzyna Czech ◽  
Michał Wielechowski ◽  
Luboš Smutka ◽  
Petr Procházka
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Financial Market ◽  
Structural Breaks ◽  
Structural Changes ◽  
Global Financial Crisis ◽  
Market Uncertainty ◽  
Volatility Index ◽  
The Global Financial Crisis ◽  
The Relationship

Securitization of the agricultural commodity market has accelerated since the beginning of the 21st century, particularly in the times of financial market uncertainty and crisis. Sugar belongs to the group of important agricultural commodities. The global financial crisis and the COVID-19 pandemic has caused a substantial increase in the stock market volatility. Moreover, the novel coronavirus hit both the sugar market’s supply and demand side, resulting in sugar stock changes. The paper aims to assess potential structural changes in the relationship between sugar prices and the financial market uncertainty in a crisis time. In more detail, using sequential Bai–Perron tests for structural breaks, we check whether the global financial crisis and the COVID-19 pandemic have induced structural breaks in that relationship. Sugar prices are represented by the S&P GSCI Sugar Index, while the S&P 500 option-implied volatility index (VIX) is used to show stock market uncertainty. To investigate the changes in the relationship between sugar prices and stock market uncertainty, a regression model with a sequential Bai–Perron test for structural breaks is applied for the daily data from 2000–2020. We reveal the existence of two structural breaks in the analysed relationship. The first breakpoint was linked to the global financial crisis outbreak, and the second occurred in December 2011. Surprisingly, the COVID-19 pandemic has not induced the statistically significant structural change. Based on the regression model with Bai–Perron structural changes, we show that from 2000 until the beginning of the global financial crisis, the relationship between the sugar prices and the financial market uncertainty was insignificant. The global financial crisis led to a structural change in the relationship. Since August 2008, we observe a significant and negative relationship between the S&P GSCI Sugar Index and the S&P 500 option-implied volatility index (VIX). Sensitivity analysis conducted for the different financial market uncertainty measures, i.e., the S&P 500 Realized Volatility Index confirms our findings.

Analyzing the Influences of Passive Investment Strategies on Financial Markets via Agent-Based Modeling

2008 ◽  
pp. 224-238 ◽  
Author(s):  
Hiroshi Takahashi ◽  
Satoru Takahashi ◽  
Takao Terano
Keyword(s):  
Asset Pricing ◽  
Financial Markets ◽  
Financial Market ◽  
Investment Strategy ◽  
Agent Based Modeling ◽  
Investment Strategies ◽  
Agent Based Model ◽  
Efficient Market ◽  
Agent Based ◽  
Price Fluctuations

This chapter develops an agent-based model to analyze microscopic and macroscopic links between investor behaviors and price fluctuations in a financial market. This analysis focuses on the effects of Passive Investment Strategy in a financial market. From the extensive analyses, we have found that (1) Passive Investment Strategy is valid in a realistic efficient market, however, it could have bad influences such as instability of market and inadequate asset pricing deviations, and (2) under certain assumptions, Passive Investment Strategy and Active Investment Strategy could coexist in a Financial Market.

Fiscal and Monetary Policies in Reaction to the Financial Tsunami by the Taiwanese Government

2011 ◽  
Vol 14 (01) ◽  
pp. 153-169 ◽  
Author(s):  
Hsiao-Yin Chen ◽  
Cheng-Few Lee ◽  
Tzu Tai ◽  
Kehluh Wang
Keyword(s):  
Financial Crisis ◽  
Financial Market ◽  
Global Financial Crisis ◽  
The United States ◽  
Insurance Companies ◽  
Monetary Policies ◽  
Policy Measures ◽  
The Global Financial Crisis ◽  
The Impact ◽  
Taiwanese Government

The main purpose of this paper is to investigate the impact of the 2007 financial tsunami on the Taiwanese financial market. We find that, although significant for banks, security firms, and insurance companies, the effect was relatively lower if compared with that in Europe and the United States. In addition, we present fiscal and monetary policies issued by the Taiwanese government in reaction to the global financial crisis. These policy measures focused on stabilizing the financial market, reducing the level of unemployment, and creating more lending opportunities in support of Taiwanese companies. We also discuss the policy measures of the US government and other Asian countries in relation to the global financial crisis. Finally, we provide some suggestions to improve financial supervision and enhance financial reforms in Taiwan.

Fiskalpolitik und Finanzmärkte: Perspektiven für Forschung und Wirtschaftspolitik

2012 ◽  
Vol 13 (Supplement) ◽  
pp. 13-35
Author(s):  
Gernot Müller
Keyword(s):  
Fiscal Policy ◽  
Financial Markets ◽  
Financial Market ◽  
Economic Activity ◽  
Global Financial Crisis ◽  
New Keynesian ◽  
Sovereign Risk ◽  
Market Conditions ◽  
Fiscal Multiplier ◽  
The Global Financial Crisis

AbstractThe conduct of fiscal policy has been altered considerably in the context of the global financial crisis, that is, at times when financial markets conditions were extraordinary turbulent. Yet financial market conditions determine how fiscal impulses are transmitted through the economy and, eventually, the size of the fiscal multiplier. I develop a comprehensive perspective on how financial market conditions alter the effects of fiscal policy on economic activity within a New Keynesian framework. Drawing on historical as well as systematic considerations, I distinguish a scenario of 1) “normal times” characterized by smoothly operating financial markets, 2) financial markets characterized by tight credit conditions in the private sector and constraints on monetary policy and 3) financial markets, in addition, characterized by high sovereign risk. I argue that the size and even the sign of the multiplier may differ across these scenarios.

scholarly journals Pension fund regulation: Unintended consequences of foreign investment restrictions in an emerging market economy

2016 ◽  
Vol 6 (4) ◽  
pp. 485-493
Author(s):  
Coert Frederik Erasmus ◽  
Johan van Huyssteen
Keyword(s):  
Foreign Investment ◽  
Pension Fund ◽  
Emerging Market ◽  
Unintended Consequences ◽  
Foreign Asset ◽  
Retirement Savings ◽  
Investment Allocation ◽  
Developed Markets ◽  
Investment Returns ◽  
Provident Fund

Retirement savings allow investors to earn income after retirement by saving while being part of the workforce. Retirement savings comprise the largest portion of retirement savings and should be safeguarded by effective regulation. To safeguard retirement savings, exposure to foreign asset investments is limited. However, in an emerging economy, limiting foreign asset investments, especially investment in developed markets, could hamper the potential investment returns due to the translation risk. To assess the effect of translation risk, a preservation provident fund was used in the present study to determine whether the returns of this preservation provident fund would be adversely affected by investment allocation regulation. The findings indicated how the translation effect affected the preservation provident fund, illustrating the adverse unintended consequences of investment regulation in emerging market economies. Consequently, regulators should reconsider the maximum allowed foreign asset investment in pension fund regulations to enhance investment returns from foreign asset investments

Measuring Social Investment Returns

2017 ◽  
Author(s):  
Gerlinde Verbist
Keyword(s):  
Social Impact ◽  
Investment Strategy ◽  
Order Effects ◽  
Investment Strategies ◽  
Social Investment ◽  
Short Discussion ◽  
First Order ◽  
Literature Overview ◽  
The Social ◽  
Investment Returns

The aim of this chapter is to assess different issues related to measuring the social impact of social investment strategies, and more specifically of publicly provided services. The chapter starts with a short discussion of the role played by services in the social investment strategy, as these services are often considered to be a more appropriate social investment instrument than cash transfers. This is illustrated by discussing the distributive effects of two types of publicly provided services, namely childcare and education. A literature overview is presented of how the employment and inequality effects of these services are measured. Both first-order and second-order effects are considered, thereby also indicating gaps in knowledge for a proper assessment of such services in the framework of social investment.

Indirect Governance in Global Financial Regulation

2020 ◽  
pp. 203-222
Author(s):  
Thomas Rixen ◽  
Lora Anne Viola
Keyword(s):  
Financial Crisis ◽  
Financial Market ◽  
Financial Stability ◽  
Financial Regulation ◽  
Global Financial Crisis ◽  
Policy Reforms ◽  
Regulatory Standards ◽  
The Global Financial Crisis ◽  
And Control

The global financial crisis led G20 states to conclude that stronger regulatory standards and improved compliance were needed to ensure global financial stability. To this end, the G20, as collective governor, granted an institutional intermediary, the Financial Stability Board (FSB), authority to develop and supervise financial market regulations. However, the G20 designed the FSB in ways that stymied its regulatory competence. Why did the G20 design the FSB in ways that were inadequate to meeting its own governance goal? Competence–control theory provides a compelling answer. The G20 faces a tradeoff between a competent intermediary and control over the intermediary; this tradeoff is exacerbated by the G20’s collective nature. While the G20 has a collective long-term interest in an intermediary with the expertise and capacity to promote stability-enhancing regulations, intense short-term distributive conflicts among member states yield strong incentives to control the intermediary. These internal distributive conflicts are more easily overcome during systemic economic crisis, when a competent intermediary is urgently needed. Once the crisis has passed, however, the governor reasserts control, again compromising the intermediary’s competence. The chapter illustrates this argument with an account of reforming the Financial Stability Forum into the FSB, and three case studies of policy reforms after the financial crisis.

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