Do institutional investors destabilize stock prices? evidence from an emerging market

Martin T. Bohl*, Janusz Brzeszczyński

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

29 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)370-383
Number of pages14
JournalJournal of International Financial Markets, Institutions and Money
Volume16
Issue number4
Early online date31 Aug 2005
DOIs
Publication statusPublished - 1 Oct 2006
Externally publishedYes

Fingerprint Dive into the research topics of 'Do institutional investors destabilize stock prices? evidence from an emerging market'. Together they form a unique fingerprint.

Cite this