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A Multivariate Analysis of SIEFORE Daily Returns

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  • Calderón-Colín Roberto
  • Carmona Sánchez Juan F.

Abstract

This document presents a multivariate analysis of the relations among daily returns of pension funds in Mexico from 1997 to 2019. Evidence of a positive relation among daily returns through five statistical methods is provided. We find Granger causality of the returns of some funds to others, showing that some managers´ decisions have influence on the investment decisions of others. We introduce financial connectedness indicators for daily returns, finding a high degree of linkage and spillovers. The high levels of financial connectedness observed suggests that shocks on the economy affect the SIEFORE returns in the same direction and broadly similar magnitude.

Suggested Citation

  • Calderón-Colín Roberto & Carmona Sánchez Juan F., 2021. "A Multivariate Analysis of SIEFORE Daily Returns," Working Papers 2021-02, Banco de México.
    • Handle: RePEc:bdm:wpaper:2021-02
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    References listed on IDEAS

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    More about this item

    Keywords

    pension funds; private pension; financial stability;
    All these keywords.

    JEL classification:

    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • J32 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - Nonwage Labor Costs and Benefits; Retirement Plans; Private Pensions

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