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

Bohl, Martin T.; Brzeszczyński, Janusz

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.

Citation

Bohl, M. T., & Brzeszczyński, J. (2006). Do institutional investors destabilize stock prices? Evidence from an emerging market. Journal of International Financial Markets, Institutions and Money, 16(4), 370-383. https://doi.org/10.1016/j.intfin.2005.05.005

• Journal Article Type: Article
• Acceptance Date: May 11, 2005
• Online Publication Date: Jan 31, 2006
• Publication Date: 2006-10
• Deposit Date: Apr 2, 2025
• Journal: Journal of International Financial Markets, Institutions and Money
• Print ISSN: 1042-4431
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 16
• Issue: 4
• Pages: 370-383
• DOI: https://doi.org/10.1016/j.intfin.2005.05.005
• Keywords: Institutional traders, Polish pension fund investors, Stock market volatility
• Public URL: http://researchrepository.napier.ac.uk/Output/4229825