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Operations of a Pension Fund after the Asian Crisis: The Thai Experience

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  • Katja Funke
  • Georg Stadtmann

Abstract

During and after the Asian crisis, institutional investors and pension funds in Asian financial markets have been confronted with a number of difficulties effecting their performance and the way they carry out their role within the national pension system. We analyze these problems by comparing the actual investment policy of an institutional investor with an optimal investment strategy derived from the insights of modern portfolio theory. We also analyze whether the organizational set‐up of a pension fund allows it to adequately perform its role within the pension system. As an example, we examine the operations of the Thai Government Pension Fund (GPF). We find that allowing international investments and reducing restrictions on equity investments while lowering the implicit requirements for investments in government debt would allow the GPF to further diversify its investment risk and to increase its risk‐adjusted return. We also show that some changes in the governance structure of the GPF would lower the occurrence of conflicts of interest for the management and increase the efficiency of the GPF operations.

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  • Katja Funke & Georg Stadtmann, 2004. "Operations of a Pension Fund after the Asian Crisis: The Thai Experience," Asian Economic Journal, East Asian Economic Association, vol. 18(4), pages 439-470, December.
    • Handle: RePEc:bla:asiaec:v:18:y:2004:i:4:p:439-470
    DOI: 10.1111/j.1467-8381.2004.00200.x
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    Cited by:

    1. Wade D. Pfau & Vararat Atisophon, 2009. "Impact of the National Pension Fund on the Suitability of Elderly Pensions in Thailand," Asian Economic Journal, East Asian Economic Association, vol. 23(1), pages 41-63, March.
    2. Palacios, Robert, 2006. "Civil-service pension schemes around the world," MPRA Paper 14796, University Library of Munich, Germany.
    3. Fahad Rehman, 2010. "Asset Allocation for Government Pension Funds in Pakistan: A Case for International Diversification," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 15(1), pages 127-151, Jan-Jun.
    4. Rehman, Fahd, 2010. "Asset Allocation for Government Pension Funds in Pakistan:A Case for International Diversification," MPRA Paper 25060, University Library of Munich, Germany.
    5. Gökçen, Umut & Yalçın, Atakan, 2015. "The case against active pension funds: Evidence from the Turkish Private Pension System," Emerging Markets Review, Elsevier, vol. 23(C), pages 46-67.

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