The impact of institutional investors on risk and stock return autocorrelations in the context of the Polish pension reform

Henryk Gurgul and Paweł Majdosz

Operations Research and Decisions, 2006, vol. 16, issue 2, 5-30

Abstract: The main aim of this paper is to examine the relationship between the increasing share of institutional investors resulting from the pension reform in Poland and stock return autocorrelation as well as risk level on the Warsaw Stock Exchange. The problem under consideration is investigated by applying the M–GARCH model for the individual stocks included in the investment portfolios of the pension funds operating in Poland.

Keywords: stock return autocorrelation; risk; institutional investors; pension reform (search for similar items in EconPapers)
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ord.pwr.edu.pl/assets/papers_archive/53%20-%20published.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wut:journl:v:2:y:2006:p:5-30

Access Statistics for this article

More articles in Operations Research and Decisions from Wroclaw University of Science and Technology, Faculty of Management Contact information at EDIRC.
Bibliographic data for series maintained by Adam Kasperski ().