An Analysis of the Sensitivity of Australian Superannuation Funds to Market Movements: A Markov Regime Switching Approach
نویسندگان
چکیده
This paper investigates the sensitivity of Australian superannuation funds in relation to equity and bond markets. In particular, it examines the extent, speed and duration of response of the Australian superannuation funds’ returns to movements in the US and Australian equity and bond markets under down, normal and up market conditions through the application of Markov regime switching analysis. The results reveal that Australian superannuation funds’ returns are most affected by movements in the US equity markets, then by the Australian equity market and lastly, by the US bond markets. Funds’ returns are not influenced at all by movements in the Australian bond market. They respond quickly and briefly to movements in markets in all market regimes. Funds’ returns move positively with US equity markets under all market conditions but most especially during down markets. They are influenced by the Australian equity market only during normal market conditions and by the US bond markets only during up markets. In line with those of previous studies, these results imply that Australian superannuation funds are not able to time their exposure to markets and that their performance is indicative of an efficient market.
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