Impact of Financial Contagion on Pension Portfolio’s Performance in Hungary and Russia

STRUCTURAL AND REGIONAL IMPACTS OF FINANCIAL CRISIS, Proceedings of 12th International Conference on Finance and Banking, S. Poloucek, D. Stavarek, eds. Karviná : Silesian University, pp. 278-292, 2009

15 Pages Posted: 26 Jan 2010

See all articles by Gábor Dávid Kiss

Gábor Dávid Kiss

University of Szeged - Faculty of Economics and Business Administration

Date Written: October 27, 2009

Abstract

The composition of pension portfolio in emerging countries has several questions about the validity of portfolio building rules - which were standardized only on developed countries. Liquidity and distributional map of government bond markets are different in developed and emerging countries, which underline the importance of redefine the two possible - government bond and stock oriented patches - strategies in Central Eastern Europe. This paper compares yields of both simulated portfolios on an entire market cycle (between 2002 and 2009) to study fluctuations, cross correlations and the impact of extreme market events on each cases.

Keywords: pension investments, power-law, tail distribution, cross correlation

JEL Classification: E44, E62, I38, O16

Suggested Citation

Kiss, Gábor Dávid, Impact of Financial Contagion on Pension Portfolio’s Performance in Hungary and Russia (October 27, 2009). STRUCTURAL AND REGIONAL IMPACTS OF FINANCIAL CRISIS, Proceedings of 12th International Conference on Finance and Banking, S. Poloucek, D. Stavarek, eds. Karviná : Silesian University, pp. 278-292, 2009, Available at SSRN: https://ssrn.com/abstract=1542097

Gábor Dávid Kiss (Contact Author)

University of Szeged - Faculty of Economics and Business Administration ( email )

P.O. Box 652
Szeged, H-6701
Hungary

HOME PAGE: http://www.eco.u-szeged.hu/kgd-en

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