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
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: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Macroeconomic Implications of Demographic Developments in the Euro Area
By Angela Maddaloni, Alberto Musso, ...
-
Evolutionary Dynamics in Complex Networks of Adaptive and Competing Agents
-
Analysis of Diversification Problems in the Case of Hungarian and Russian Pension Investments
-
The Maturity Structure of Administrative Costs: Theory and UK Experience
By Mamta Murthi, J. Michael Orszag, ...
-
Policy Options and Issues in Reforming European Supplementary Pension Systems
-
Population Ageing and Public Pension Reforms in a Small Open Economy
By Christiane Nickel, Philipp Rother, ...
-
Modelling Stock Returns in the G-7 and in Selected CEE Economies: A Non-Linear GARCH Approach
By Balázs Égert and Yosra Koubaa
-
By Gábor Dávid Kiss and Laszlo Dudas