Chinese pension fund investment efficiency - evidence from CNCSSF stock holdings


Lang, Gunnar ; Shen, Yu ; Xu, Xian


[img]
Preview
PDF
dp14007.pdf - Published

Download (502kB)

URL: https://ub-madoc.bib.uni-mannheim.de/35850
URN: urn:nbn:de:bsz:180-madoc-358509
Document Type: Working paper
Year of publication: 2014
The title of a journal, publication series: ZEW Discussion Papers
Volume: 14-007
Place of publication: Mannheim
Publication language: English
Institution: Sonstige Einrichtungen > ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung
MADOC publication series: Veröffentlichungen des ZEW (Leibniz-Zentrum für Europäische Wirtschaftsforschung) > ZEW Discussion Papers
Subject: 330 Economics
Classification: JEL: G11 , G14 , G23,
Keywords (English): Pension fund investment , performance evaluation , Chinese pension funds
Abstract: China’s pension system is facing a large gap of more than one trillion RMB. The investment efficiency of the social security fund therefore receives widespread attention in academic circles. We collected data of stocks held by the Chinese National Council for Social Security Fund (CNCSSF) from 2004 to 2012 to research the stocks’ investment efficiency, distinguishing between direct investment by the CNCSSF and entrusted investment by fund companies. The results indicate that both components of the Chinese Social Security Fund investment have efficiency drawbacks. Direct investment by the CNCSSF does not obtain excess returns, while entrusted investment reaches an annual excess return of 4.32 percent because more private information is available to fund companies than to the CNCSSF during asset allocation. Further analyses of this paper find, however, that the Chinese Social Security Fund has a significant market-stabilizing effect, which is almost three times stronger than the market-stabilizing effect of entrusted investment. In general, entrusted investment performs better than direct investment with regard to investment efficiency, while direct investment performs better in terms of market stabilization.

Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




+ Citation Example and Export

Lang, Gunnar ; Shen, Yu ; Xu, Xian (2014) Chinese pension fund investment efficiency - evidence from CNCSSF stock holdings. Open Access ZEW Discussion Papers Mannheim 14-007 [Working paper]
[img]
Preview


+ Search Authors in

+ Download Statistics

Downloads per month over past year

View more statistics



You have found an error? Please let us know about your desired correction here: E-Mail


Actions (login required)

Show item Show item