Abstract
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.
Original language | English |
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Pages (from-to) | 47-64 |
Journal | Journal of International Financial Markets, Institutions and Money |
Volume | 47 |
DOIs | |
Publication status | Published - 25 Nov 2016 |
Keywords
- Asset demand
- emerging markets
- insurance companies
- pension funds
- institutional investors
- panel ARDL
- search for yield
- 2020