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|Other Titles: ||The impact of pension fund on stock market in Taiwan|
|Authors: ||吳品嫻;Wu, Pin-shian|
|Keywords: ||退休基金;股票市場;Granger因果關係;向量自我迴歸模型;誤差修正模型;Pension Fund;Stock Market;Granger Causality;Vector Autoregressive Model (VAR);Error Correction Model(ECM)|
|Issue Date: ||2010-01-11 03:45:14 (UTC+8)|
Asset allocation of pension fund has been an important issue of pension fund management board in Taiwan. If funds invest only in fixed-income assets, with the change of time, oil prices, raw materials and prices rise year by year. In this case because of low return characteristic of fixed income assets, it is not difficult to imagine that the risk that retirees will be facing the risk of inflation in the long term. On the other hand, equity assets seem to be one of the important investment tools, and it has the characteristic of high-risk and well-return. However, when the management board will invest the pension fund into stock market, it may not be able to accommodate huge fund inflow in a short time. There certainly will be some influence and lash on the shock on the stock market. Therefore, this study will explore that the size of their investment impact on the stock market after the pension fund invest in the stock market.
The data periods are between 1999/1/1 ~ 2008/12/31 using monthly data. Granger Causality, Vector Autoregressive Models, Cointegration Test and Error Correction Models are used to explore the impact of pension fund on stock market in Taiwan. This Study finds that short term stock return and the stock volatility have stronger price discovery function. Changing rate of equity holding size of Public Servant Pension Fund (PSPF) lags behind one period, changing rate of equity holding size of Labor Pension Fund lags behind four periods, and changing rate of equity holding size of total pension fund lags behind the fourth period. They all have significant positive impacts on stock price volatility. However, they have no significant effect on stock returns.
In the long term, by observing the estimating results of the error correction model we find when stock market prices deviate from the long-run equilibrium, increasing the pension fund in the market by the intervention of the government, it will force the price back to the long-run equilibrium relation, the volatility of the stock market is also with the same phenomenon. This study provides us a clear result that pension fund investment in Taiwan equity market will improve stability in the stock market.
|Appears in Collections:||[管理科學學系暨研究所] 學位論文|
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