The Role of Pension Fund Investments in Shaping Volatility Dynamics in South African Stock Markets
Bibliographic Data
| ID | 22419590 |
|---|---|
| Authors | Eugene Msizi Buthelezi (0000-0002-2233-7347, University of the Free State, corresponding author) |
| Year | 2026 |
| Publication date | 2026-06-03 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Global Journal of Emerging Market Economies (JOURNAL) |
| Journal identifiers | ISSN: 0974-9101 • E-ISSN: 0975-2730 |
| Publisher | SAGE Publications (PUBLISHER • US) |
| DOI | 10.1177/09749101261452714 |
| OpenAlex | W7163351061 |
| Language | EN |
| References cited | 45 |
This article examines the role of pension fund investments in shaping volatility dynamics in South African stock markets from 2010Q1 to 2022Q4. The article measures exchange rate volatility using the family of autoregressive conditional heteroskedasticity and Markov-switching dynamic regression. Results indicate that increased contributions by both individuals and employers are positively associated with higher stock market returns, suggesting a potential contribution to improved market performance. In addition, there are two distinct regimes when analyzing the impact of pension fund withdrawals on stock market volatility. In regime 1, pension fund withdrawals contribute to a decrease in stock market volatility, indicating a potential stabilizing effect on the market. However, in regime 2, higher withdrawals are associated with increased volatility, possibly reflecting market uncertainties and selling pressures. Given these, pension fund participants and investors should carefully consider the timing and amount of their withdrawals, taking into account the potential impact on stock market returns. Encouraging higher pension fund contributions by individuals and employers can play a crucial role in enhancing stock market performance and stability. Policymakers should closely monitor the impact of pension fund dynamics on market dynamics and ensure the integrity and stability of the stock market. JEL Classifications G10, G18, G23
Investment fund · Pension · Pension Fund · Stock exchange · Stock market · Financial Literacy, Pension, Retirement Analysis · Financial Markets and Investment Strategies · Financial Risk and Volatility Modeling
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| Highly cited | No |
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