Herd behaviour in the pension fund administrators in Chile: A correlation and cointegration analysis

Claudina Rubilar-Maturana, César Venegas-Piñeda, Ana María Vallina-Hernandez, HANNS ANIBAL DE LA FUENTE MELLA

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

This study analyses the performance of pension funds in Chile and the characteristics of the market of Pension Fund Administrators, incorporating the effect of the 2008 financial crisis, also known as the subprime crisis. The Chilean market shows asymmetric information for the people paying into pension funds, herding and extraordinary earnings to a degree that can be characterized as an oligopoly market. These conditions demonstrate that it is a relatively fragile market in the face of negative perturbations and that it is inefficient at providing results to its members. In order to obtain these conclusions, a benchmark method is applied using passive indices and an alternate instrument. Herding is shown through a correlationand cointegration analysis. Concentration is measured using the usual indices, IHH and Dominance, and normal earnings in accordance with international parameters adjusted to the conditions of emerging economies, these indices are then compared with the real values obtained. It is concluded that there are systemic problems originating from regulations aimed at protecting contributors, such as the maximum deviation in average profitability of the system. A series of implications and conclusions relative to public policies are also described.

Original languageEnglish
Title of host publicationProceedings - 2nd International Symposium on Stochastic Models in Reliability Engineering, Life Science, and Operations Management, SMRLO 2016
EditorsAnatoly Lisnianski, Ilia Frenkel
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages524-529
Number of pages6
ISBN (Electronic)9781467399418
DOIs
StatePublished - 11 Mar 2016
Event2nd International Symposium on Stochastic Models in Reliability Engineering, Life Science, and Operations Management, SMRLO 2016 - Beer Sheva, Israel
Duration: 15 Feb 201618 Feb 2016

Publication series

NameProceedings - 2nd International Symposium on Stochastic Models in Reliability Engineering, Life Science, and Operations Management, SMRLO 2016

Conference

Conference2nd International Symposium on Stochastic Models in Reliability Engineering, Life Science, and Operations Management, SMRLO 2016
CountryIsrael
CityBeer Sheva
Period15/02/1618/02/16

Keywords

  • Asymmetric Information
  • Cointegration Analysis
  • Concentration
  • Herding Behavior

Fingerprint Dive into the research topics of 'Herd behaviour in the pension fund administrators in Chile: A correlation and cointegration analysis'. Together they form a unique fingerprint.

Cite this