The Role of Pension Funds on Capital Market Growth in the New EU Member States

• Autorzy: Gazmore Rexhepi , Burim Gashi

Warianty tytułu

Rola funduszy emerytalnych w rozwoju rynku kapitałowego w nowych państwach członkowskich Unii Europejskiej

• Języki publikacji: EN

Abstrakty

EN

The main goal of this paper is to analyse the impact of pension funds on capital market development in 11 new EU member states1 (NMS ) from Central and Eastern Europe, using annual data from 2010 to 2020. Stock market capitalization and private bond market capitalization are used as a proxy for capital market growth. The relationship between the variables is examined using the Fully Modified Ordinary Least Squares (FMOLS) and Dynamic Ordinary Least Squares (DOLS) methods. The results indicate that pension funds have a positive effect on growth in stock and bond markets. These results raise a number of implications that call for a careful reconsideration of the management approach to pension funds and for a reassessment of their investment strategies. As pension funds accumulate sizable assets, they should switch their investment strategies towards more risk-oriented portfolios. (original abstract)

Podstawowym celem artykułu jest analiza wpływu wywieranego przez fundusze emerytalne na rozwój rynku kapitałowego jedenastu nowych krajów członkowski UE z obszaru Europy Środkowo-Wschodniej. Wykorzystane dane mają charakter roczny i pochodzą z lat 2010-2020. Jako wskaźniki wzrostu rynku kapitałowego wykorzystujemy dwie zmienne, którymi są: kapitalizacja rynku giełdowego i kapitalizacja rynku obligacji prywatnych. Zależność między zmiennymi oszacowano za pomocą estymatorów DOLS (ang. dynamic ordinary least squares) oraz FMOLS (ang. fully modified ordinary least squares). Wyniki analizy wskazują, że fundusze emerytalne wywierają pozytywny wpływ na wzrost rynku giełdowego oraz rynku obligacji prywatnych. Wyniki badania są istotne z punktu widzenia zarządzania i strategii inwestycyjnych stosowanych przez fundusze emerytalne. W najbliższej przyszłości, gdy fundusze emerytalne zgromadzą znaczne aktywa, powinny zmienić swoje strategie inwestycyjne w kierunku portfeli bardziej nastawionych na ryzyko. (abstrakt oryginalny)

Słowa kluczowe

EN

Pension funds; Capital market; Cointegration

PL

Fundusze emerytalne; Rynek kapitałowy; Kointegracja

• Czasopismo: Ekonomista
• Rocznik: 2022
• Numer: nr 4
• Strony: 437--454

Twórcy

autor

Gazmore Rexhepi

• University Fehmi Agani, Gjakove, Kosovo

autor

Burim Gashi

• Biznesi College, Pristina, Kosovo

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Identyfikatory

DOI

10.52335/ekon/156779