TY - JOUR
T1 - Institutional investors and stock returns volatility
T2 - Empirical evidence from a natural experiment
AU - Bohl, Martin T.
AU - Brzeszczyński, Janusz
AU - Wilfling, Bernd
N1 - Funding Information:
Comments provided by Carol Alexander, Jerzy Gajdka, Steven Isberg, Mark Schaffer, conferences participants and an anonymous referee are gratefully acknowledged. The first author thanks the Alexander von Humboldt Foundation for financial support.
Copyright:
Copyright 2009 Elsevier B.V., All rights reserved.
PY - 2009/6/1
Y1 - 2009/6/1
N2 - In this paper, we provide empirical evidence on the impact of institutional investors on stock market returns dynamics. 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. Performing a Markov-switching-GARCH analysis we find empirical evidence that the increase of institutional ownership has temporarily changed the volatility structure of aggregate stock returns. The results are interpretable in favor of a stabilizing effect on index stock returns induced by institutional investors.
AB - In this paper, we provide empirical evidence on the impact of institutional investors on stock market returns dynamics. 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. Performing a Markov-switching-GARCH analysis we find empirical evidence that the increase of institutional ownership has temporarily changed the volatility structure of aggregate stock returns. The results are interpretable in favor of a stabilizing effect on index stock returns induced by institutional investors.
KW - Institutional traders
KW - Markov-switching-GARCH model
KW - Pension fund investors
KW - Polish stock market
KW - Stock market volatility
UR - http://www.scopus.com/inward/record.url?scp=64049106392&partnerID=8YFLogxK
U2 - 10.1016/j.jfs.2008.02.003
DO - 10.1016/j.jfs.2008.02.003
M3 - Article
AN - SCOPUS:64049106392
SN - 1572-3089
VL - 5
SP - 170
EP - 182
JO - Journal of Financial Stability
JF - Journal of Financial Stability
IS - 2
ER -