Using micro data sets from Korea and 11 European countries, this study
examines how the features of pension system affect stock market participation
decision of households. Based on the results from panel data analysis, this
study illustrates the major determinants of household’s stock market
participation decision. Furthermore, using a pooled regression model, this
study shows that the cross-country variation in stock market participation rates
can be explained by the difference in pension system. This study suggests that
private pension participation rates and income replacement rates of public
pension are associated with the stock market participation rates.