TY - JOUR
T1 - Do institutional investors destabilize stock prices? evidence from an emerging market
AU - Bohl, Martin T.
AU - Brzeszczyński, Janusz
N1 - Copyright:
Copyright 2006 Elsevier B.V., All rights reserved.
PY - 2006/10/1
Y1 - 2006/10/1
N2 - In this paper, we provide empirical evidence on the impact of institutional investors on stock market returns dynamics in Poland. The Polish pension system reform in 1999 and the associated increase in institutional ownership due to the investment activities of pension funds are used as a unique institutional characteristic. We find robust empirical evidence that the increase of institutional ownership has changed the autocorrelation and volatility structure of aggregate stock returns. However, the findings do not support the hypothesis that institutional investors have destabilized stock prices. The results are interpretable in favor of a stabilizing effect on index stock returns induced by institutional trading.
AB - In this paper, we provide empirical evidence on the impact of institutional investors on stock market returns dynamics in Poland. The Polish pension system reform in 1999 and the associated increase in institutional ownership due to the investment activities of pension funds are used as a unique institutional characteristic. We find robust empirical evidence that the increase of institutional ownership has changed the autocorrelation and volatility structure of aggregate stock returns. However, the findings do not support the hypothesis that institutional investors have destabilized stock prices. The results are interpretable in favor of a stabilizing effect on index stock returns induced by institutional trading.
KW - Institutional traders
KW - Polish pension fund investors
KW - Stock market volatility
UR - http://www.scopus.com/inward/record.url?scp=33747853825&partnerID=8YFLogxK
U2 - 10.1016/j.intfin.2005.05.005
DO - 10.1016/j.intfin.2005.05.005
M3 - Article
AN - SCOPUS:33747853825
VL - 16
SP - 370
EP - 383
JO - Journal of International Financial Markets, Institutions and Money
JF - Journal of International Financial Markets, Institutions and Money
SN - 1042-4431
IS - 4
ER -