Herd Behaviour in the Pension Fund Administrators in Chile: A Correlation and Cointegration Analysis

摘要

This study analyses the performance of pension funds in Chile and the characteristics of the market of Pension Fund Administrators, incorporating the effect of the 2008 financial crisis, also known as the subprime crisis. The Chilean market shows asymmetric information for the people paying into pension funds, herding and extraordinary earnings to a degree that can be characterized as an oligopoly market. These conditions demonstrate that it is a relatively fragile market in the face of negative perturbations and that it is inefficient at providing results to its members. In order to obtain these conclusions, a benchmark method is applied using passive indices and an alternate instrument. Herding is shown through a correlationand cointegration analysis. Concentration is measured using the usual indices, IHH and Dominance, and normal earnings in accordance with international parameters adjusted to the conditions of emerging economies, these indices are then compared with the real values obtained. It is concluded that there are systemic problems originating from regulations aimed at protecting contributors, such as the maximum deviation in average profitability of the system. A series of implications and conclusions relative to public policies are also described.