Stock Market Prices and Institutional Trades: Evidence on Trading by Pension Funds in Poland
24 Pages Posted: 27 Jan 2004
In this paper, we extend the empirical literature on price effects of institutional trading by focusing on an emerging stock market of Poland dominated by the one type of institutional investors, namely, pension funds. We investigate the incidence and pattern of the effect of monthly flows from the pension funds on the aggregate level of stock market prices. Our findings indicate that there is a significant positive relation between the flows and two main market indice' concurrent returns, showing that trading by pension funds does exert pressure on the aggregate market prices. We also find a positive relation between the stock market contemporaneous returns and institutional flows. It does not emerge from our results, however, that pension funds tend to pursue positive feedback trading strategies.
Keywords: Institutional Investors, Stock Returns, Pension Funds, Polish Stock Market
JEL Classification: G20, G23
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