A multivariate analysis of SIEFORE daily returns

Abstract

This document presents a multivariate analysis of the relationship among daily returns of pension funds in Mexico from 1997 to 2019. We provide evidence of a positive relationship among daily returns through five statistical methods. We find Granger causality of the returns of some funds to others, showing that some managers’ decisions affect the others’ investment decisions. We introduce financial-connectedness indicators for daily returns, finding a high degree of linkage and spillovers. The high levels of financial connectedness observed suggest that shocks on the economy affect the SIEFORE returns in the same direction and with generally similar magnitude.