Do institutional investors destabilize stock prices? evidence from an emerging market |
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| Institution: | 1. University of Kansas, 3143 Capitol Federal Hall, 1654 Naismith Drive, Lawrence, KS 66045, United States;2. Clemson University, United States;3. University of Missouri-Columbia, United States;1. Department of International Trade and Finance, Ya?ar University, Bornova, 35100 ?zmir, Turkey;2. Department of Accounting and Finance, Lancaster University Management School, Lancaster LA1 4YX, UK;1. The University of Texas – Pan American, United States;2. University of Sussex, United Kingdom;3. East Carolina University, United States;1. Nova School of Business and Economics, Universidade Nova de Lisboa, Campus de Campolide, 1099-032 Lisboa, Portugal;2. University of Virginia, Darden School of Business, United States |
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| 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. |
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