Pension reform and capital market development in Central and Eastern European countries

Figures & data

Table 1. Review of the main empirical literature.

Author/s	Sample	Methodology	Main results: Pension fund assets
Catalán et al. (2000)	14 OECD countries plus 5 developing countries (Chile, Malaysia, Singapore, South Africa, Thailand)	Granger causality test	Granger cause market capitalisation
Impavido and Musalem (2000)	26 countries, from which 5 developing ones	OLS, Error Component (EC), TSLS	Strong and positive impact on market capitalisation
Walker and Lefort (2002)	Chile, Argentina, Peru, 33 emerging economies	GLS	Positive impact on the development of capital markets
Impavido, Musalem, and Tressel (2003)	32 developed and developing countries	GMM	Positive impact on the market depth
Aras and Müslümov (2005)	23 OECD countries	Granger causality test	Granger cause market capitalisation
Raddatz and Schmuckler (2008)	Chile	Lakonishok et al. (1992) herding statistic	No consistent impact on financial market
Hryckiewicz (2009)	8 CEE countries	GMM	Positive impact on market capitalisation
Meng and Pfau (2010)	32 developed and emerging countries	GMM LSDV	positive impact on stock market depth and liquidity
Niggemann and Rocholl (2010)	30 OECD member states and 42 non-member states (developed and emerging economies)	GLS	Positive impact on market capitalisation
Liang and Bing (2010)	UK	Granger causality	Positive impact on market capitalisation; Reverse causality also significant
Kim (2010)	21 OECD countries	GMM	Positive long-term impact on market capitalisation Positive, but volatile short-term impact on market capitalisation

Source: authors’ compilation.

Table 2. Correlogram of market capitalisation (MC).

Lag	AC	PAC	Q-Stat	Prob
1	0.58	0.58	35.13	0.00
2	0.34	−0.01	46.88	0.00
3	0.21	0.02	51.34	0.00
4	0.05	−0.11	51.65	0.00
5	0.01	0.03	51.67	0.00
6	0.01	0.02	51.69	0.00
7	0.09	0.14	52.65	0.00
8	0.05	−0.10	52.94	0.00
9	0.03	0.00	53.01	0.00

Source: authors’ calculation.

Table 3. Correlogram of pension fund assets (PFA).

Lag	AC	PAC	Q-Stat	Prob
1	0.82	0.82	68.59	0.00
2	0.64	−0.06	111.87	0.00
3	0.52	0.04	140.48	0.00
4	0.36	−0.18	154.48	0.00
5	0.22	−0.05	159.68	0.00
6	0.11	−0.03	161.03	0.00
7	0.04	0.03	161.20	0.00
8	−0.01	0.01	161.21	0.00
9	−0.02	0.06	161.25	0.00

Source: authors’ calculation.

Table 4. Unit root tests.

Variable	Hypothesis	Common unit root	Individual unit root
		LLC	ADF-Fisher	PP-Fisher
MC	Level	−1.19	13.78	13.51
	First difference	−6.81***	59.38***	107.13***
PFA	Level	2.65	4.65	3.23
	First difference	−8.91***	46.32***	74.66***

(***) ,

(**) and

(*) denote rejection of the unit root hypothesis at the 1, 5 and 10% levels, respectively.

Source: authors’ calculation.

Table 5. Johansen Fisher cointegration test.

Type of the cointegration equation	Number of cointegration equations	Trace test	Max-Eigen test
No constant and no trend in CE or in VAR	None	83.92***	69.45***
	At least one	42.11***	42.11***
With constant only in CE	None	88.80***	69.58***
	At least one	43.54***	43.54***
With constant in CE and in VAR	None	61.83***	54.40***
	At least one	35.07**	35.07**
With constant and linear trend in CE and no trend in VAR	None	185.3***	156.7***
	At least one	30.58*	30.58*
With constant and quadratic trend CE and linear trend in VAR	None	163.4***	168.2***
	At least one	56.98***	56.98***

(***) ,

(**) and

(*) denote rejection of the no cointegration hypothesis at the 1%, 5% and 10% levels, respectively.

Source: authors’ calculation.

Table 6. Single equation ECM estimation.

Variable	(1) OLS fixed-effects	(2) OLS random effects	(3) FGLS fixed-effects
MC(–1)	−0.49***	−0.32***	−0.46**
	(0.10)	(0.08)	(0.23)
D(PFA)	4.50***	5.09***	3.14***
	(1.59)	(1.43)	(0.95)
PFA(–1)	−0.60	−0.38	0.27**
	(0.51)	(0.35)	(−2.34)
C	9.85***	5.14**	10.14**
	(2.83)	(2.03)	(4.13)
N	90	90	90
Adjusted R^2	0.30	0.27	0.33
F-statistic	4.20***	12.03***	4.65***
Durbin-Watson stat	2.17	2.17	2.16
Hausman test		11.51***

Standard errors in parentheses;

^*** p < 0.01,

^** p < 0.05,

^* p < 0.1.

Source: authors’ calculation.

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