Financial Autarchy as Contagion Prevention: The Case of Colombian Pension Funds

Edgardo Cayon and Susan Thorp

No 323, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: Regulations restricting investment by pension funds in high risk and foreign assets may quarantine member accounts from contagious transmissions during financial crises. This paper analyses contagion from US equity markets to emerging market autarchic assets (Colombian private pension funds) during the recent financial crises. We test for contagion as changes in systematic risk between financial asset returns using an M-GARCH framework, where the S&P500 is the source of contagion to the autarchic asset. We find no evidence of contagion during the 2007-2009 crises, indicating protection to plan members from regulated portfolio restrictions during this period, but contagion from US stocks and fixed interest factors is significant during the recent sovereign debt crisis.

Keywords: emerging markets; global financial crisis; sovereign debt crisis; regulation; systematic risk (search for similar items in EconPapers)
Pages: 28 pages
Date: 2013-01-01
New Economics Papers: this item is included in nep-age
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published as: Cayon, E. and Thorp, S., 2014, "Financial Autarchy as Contagion Prevention: The Case of Colombian Pension Funds", Emerging Markets Finance and Trade, 50(Sup3), 122-139.

Downloads: (external link)
https://www.uts.edu.au/sites/default/files/qfr-archive-03/QFR-rp323.pdf (application/pdf)

Related works:
Journal Article: Financial Autarchy as Contagion Prevention: The Case of Colombian Pension Funds (2014)
Journal Article: Financial Autarchy as Contagion Prevention: The Case of Colombian Pension Funds (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:uts:rpaper:323

Access Statistics for this paper

More papers in Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney PO Box 123, Broadway, NSW 2007, Australia. Contact information at EDIRC.
Bibliographic data for series maintained by Duncan Ford ().