Using country-level data on 47 global markets, this paper examines the stabilizing effects of pension funds vs. mutual funds on country-specific market risk. We find that mutual funds have a significantly negative effect on idiosyncratic volatility in developed markets, but this role becomes insignificant in emerging markets. In contrast, pension funds significantly reduce country-specific market risk in both developed and emerging markets, with a much stronger stabilizing effect. The prudence of pension funds subsumes the macrofactor effects on market risk and drives away the effects of mutual funds in emerging markets. Our results suggest that the steady growth of pension funds can be a viable strategy to improve a country’s financial health, especially for emerging markets.

本文使用 47 个全球市场的国家级数据，研究了养老基金与共同基金对特定国家市场风险的稳定作用。我们发现共同基金对发达市场的特质波动有显着的负面影响，但这种作用在新兴市场变得微不足道。相比之下，养老基金在发达市场和新兴市场都显着降低了特定国家的市场风险，具有更强的稳定作用。养老基金的审慎性包含了宏观因素对市场风险的影响，驱散了新兴市场共同基金的影响。我们的研究结果表明，养老基金的稳定增长可以成为改善国家财务健康状况的可行策略，尤其是对于新兴市场而言。