Institutional Trading and Stock Return Autocorrelation: Empirical Evidence on Polish Pension Fund Investors' Behavior

Posted: 7 Oct 2004

See all articles by Martin T. Bohl

Martin T. Bohl

University of Muenster

Bartosz Gebka

University of Newcastle Business School

Harald Henke

European University Viadrina, Frankfurt (Oder)

Abstract

In this paper, we extend the empirical finance literature on the influence of institutional traders by investigating the impact of Polish pension funds trading on individual stock return autocorrelation. The pension reform in 1999 and the associated increase in institutional traders' investment activities provides the unique opportunity to receive additional insight into the behavior of institutional investors in an emerging capital market. Performing a variant of the event study methodology we find only very little empirical evidence supporting existing theories predicting positive return autocorrelation due to the influence of institutional traders' investment activities. Rather, our cross-sectional analysis reveals a negative relationship between the trading of pension funds and autocorrelation in returns of individual stocks.

Keywords: Institutional trading, pension funds, return autocorrelation, Polish stock market

JEL Classification: G14, G23

Suggested Citation

Bohl, Martin T. and Gebka, Bartosz and Henke, Harald, Institutional Trading and Stock Return Autocorrelation: Empirical Evidence on Polish Pension Fund Investors' Behavior. Available at SSRN: https://ssrn.com/abstract=600362

Martin T. Bohl (Contact Author)

University of Muenster ( email )

Schlossplatz 2
D-48149 Muenster, D-48149
Germany

Bartosz Gebka

University of Newcastle Business School ( email )

Newcastle upon Tyne, NE1 4SE
United Kingdom
+44 191 208 1578 (Phone)

HOME PAGE: http://https://www.ncl.ac.uk/business-school/staff/profile/bartoszgebka.html#publications

Harald Henke

European University Viadrina, Frankfurt (Oder) ( email )

Department of Finance and Capital Market Theory
Gr. Scharrnstr. 59
15230 Frankfurt (Oder)
Germany

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