TY - JOUR
T1 - Institutional investors’ allocation to emerging markets: A panel approach to asset demand.
AU - Bonizzi, Bruno
N1 - © 2016 Elsevier B.V. This manuscript is made available under the terms of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International licence (CC BY-NC-ND 4.0). For further details please see: https://creativecommons.org/licenses/by-nc-nd/4.0/
PY - 2017/3/1
Y1 - 2017/3/1
N2 - This study assesses the factors driving insurance companies and pension funds’ portfolio allocation to emerging market assets. By making use of the Emerging Portfolio Fund Research database, it estimates asset demand equations for emerging markets’ equities and bonds for insurance companies and pension funds from advanced countries. These are estimated by using recent advances in the literature on panel autoregressive distributed lag models. Two key results emerge: firstly, consistent with ‘search for yield’ investment behaviour, weaker balance sheet conditions, measured by the lower funding level of pension funds, positively affect the asset allocation to emerging markets. Secondly, the accumulation of reserves by emerging markets is a significant attractor of foreign institutional investment.
AB - This study assesses the factors driving insurance companies and pension funds’ portfolio allocation to emerging market assets. By making use of the Emerging Portfolio Fund Research database, it estimates asset demand equations for emerging markets’ equities and bonds for insurance companies and pension funds from advanced countries. These are estimated by using recent advances in the literature on panel autoregressive distributed lag models. Two key results emerge: firstly, consistent with ‘search for yield’ investment behaviour, weaker balance sheet conditions, measured by the lower funding level of pension funds, positively affect the asset allocation to emerging markets. Secondly, the accumulation of reserves by emerging markets is a significant attractor of foreign institutional investment.
KW - Asset demand, emerging markets, insurance companies, pension funds, institutional investors, panel ARDL, search for yield
UR - https://winchester.elsevierpure.com/en/publications/institutional-investors-allocation-to-emerging-markets-a-panel-ap-3
U2 - 10.1016/j.intfin.2016.11.009
DO - 10.1016/j.intfin.2016.11.009
M3 - Article
SN - 1042-4431
VL - 47
SP - 47
EP - 64
JO - Journal of International Financial Markets, Institutions and Money
JF - Journal of International Financial Markets, Institutions and Money
ER -