کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5075596 1373925 2006 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Institutional trading and stock return autocorrelation: Empirical evidence on Polish pension fund investors' behavior
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
Institutional trading and stock return autocorrelation: Empirical evidence on Polish pension fund investors' behavior
چکیده انگلیسی

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 provide a 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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Global Finance Journal - Volume 16, Issue 3, March 2006, Pages 233-244
نویسندگان
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