PENSION FUNDS AND STOCK MARKET PERFORMANCE IN SOUTH AFRICAN ECONOMY: ASYMMETRIC COINTEGRATION ANALYSIS

Abstract

Pension funds' stock market investments have been steadily expanding, possibly due to the expansion of pension funds' assets. Using asymmetric cointegration analysis, this study examines the effects of pension fund assets invested in the stock market on the development of the Johannesburg Stock Exchange. The study analyses quarterly statistics on pension funds invested in the stock market and the value and volume of equities traded on the Johannesburg Stock Exchange from 1990 to 2020. The findings indicate that pension funds' investments in the stock market and the stock market variables used display long-run asymmetric correlations that are meaningful in the long run. The study suggests that pension funds can bolster the stock market's depth and strength if the pension funds' security and safety are ensured.