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title page
Contents
Introduction 10
Essay I. The Impact of Pension Funds on Securities Markets: Panel Data Analysis of 34 Countries 13
1. Introduction 13
2. Hypotheses 19
3. Data and Definition of Variables 22
4. Models and Estimations 25
4.1 Static Panel Model 26
4.2 Dynamic Panel Model 28
5. Panel Data Evidence: Results of Fixed-effects Model and GMM Dynamic Panel Estimator 32
5.1 Estimate Results of Stock Market Size 34
5.2 Estimate Results of Stock Market Efficiency 37
5.3 Estimate Results of Bond Market Size 40
6. Conclusion 42
Essay II. A Study on Portfolio Selection Behavior of Households in Korea after the Financial Crisis: Analysis of Korean Labor and Income Panel Study (KLIPS) 48
1. Introduction 48
2. Previous Studies and Portfolio Selection Theory of Households 50
2.1. Previous Studies 50
2.2. Portfolio Selection of a Household and Development Process 56
3. Status of an Asset Composition and the Characteristics of Households in Korea after the Financial Crisis 58
3.1. Economic Status of Households in Korea 58
3.2. The Characteristics of Domestic Households and the Comparison between Developed Countries 60
3.2.1. Survey Data on Asset Holding 60
3.2.2. Variation by Age, Education, Income, and Difference between Wage Earner and Self-employed: Univariate Analysis 65
4. Data, Model and Method of Panel Analysis 69
4.1. Analysis Data 69
4.2. Analysis Model and Analysis Method 73
5. The Analysis Result of Precautionary Portfolio Selection Behavior of Domestic Households after the Financial Crisis 79
6. Summary and Conclusion 87
References 92
ABSTRACT 101
(Table 1-1) Definition of Variables 24
(Table 1-2) Impact of Pension Funds on the Size of the Stock Market 36
(Table 1-3) Impact of Pension Funds on the Efficiency of the Stock Market 39
(Table 1-4) Impact of Pension Funds on the Size of the Bond Market 41
(Table 2-1) Economic Status of Households in Korea 59
(Table 2-2) Composition of Household Assets in Korea 61
(Table 2-3) Household Portfolio Structure in Korea and the OECD Member Countries 62
(Table 2-4) Household Portfolio Structure of the OECD… 63
(Table 2-5) Stock Holdings of OECD Member Countries 64
(Table 2-6) Holdings of Assets for Korean Household by Age of Household Head 65
(Table 2-7) Holdings of Assets for Korean Household by Level of Education of Household Head 66
(Table 2-8) Holdings of Assets for Korean Household by Level… 67
(Table 2-9) Holdings of Assets for Korean Household by Difference… 68
(Table 2-10) Estimate Result of the Permanent Income of… 80
(Table 2-11) Estimate Result of Safe Financial Asset Share of… 83
(Table 2-12) Main Purpose of Savings on Each Domestic… 84
(Table 2-13) Estimate Result of Stock Holdings of… 86
(Appendix 1.A) In-Sample Country Means of Vlriables (1989~2001) 44
(Appendix 1.B) In-Sample Correlation 45
(Appendix 1.C) Financial System Classification 46
(Appendix 1.D) Financial Development Classification 47
(Appendix 2.A) Basic Statistics of Main Variables 90
(Appendix 2.B) Variance of the Estimate of Earn Income 90
(Appendix 2.C) In-Sample Correlation of Main Variables 91
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