| Title |
Sustaining in uncertain time: investigating pension fund performance during market stress / |
| Authors |
Lakstutiene, Ausrine ; Sutiene, Kristina ; Kabasinskas, Audrius ; Malakauskas, Aidas ; Kopa, Milos |
| DOI |
10.5755/j01.ee.36.1.36796 |
| Full Text |
|
| Is Part of |
Inžinerinė ekonomika = Engineering economics: -.. Kaunas : KTU. 2025, vol. 36, iss. 1, p. 96-112.. ISSN 1392-2785. eISSN 2029-5839 |
| Keywords [eng] |
pension funds ; market stress ; short –term risk ; long-term risk ; change point detection |
| Abstract [eng] |
The academic discourse on stress in the global economy and financial markets has ignited discussions regarding regulatory oversight of pension fund management and investment strategies. This study investigates how pension funds (PF) respond to short-term and long-term risks, as well as their recovery periods following market shocks. To address these inquiries, we classify financial market stress, considering both short-term and long-term risks. Utilizing the change point detection technique and Bayesian average (Zhao et al., 2019), we analyse shifts in the dynamics of PF values managed by SEB and Swedbank from 2004 to 2023. The research explores not only timings and the number of change points but also their likelihood over time. Drawdowns, recovery rates, and timing ratios are particularly insightful for assessing PF performance during crises and market disturbances. These findings contribute to the understanding of PF behaviour in various market conditions and underscore the significance of adaptive investment strategies in navigating financial uncertainties. |
| Published |
Kaunas : KTU |
| Type |
Journal article |
| Language |
English |
| Publication date |
2025 |
| CC license |
|
