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Gurgul Henryk, Majdosz Paweł
The impact of institutional investors on risk and stock return autocorrelation in the context of the polish pension reform
Wpływ inwestorów instytucjonalnych na ryzyko i autokorelację stóp zwrotu akcji w kontekście reformy systemu emerytalnego w Polsce
Badania Operacyjne i Decyzje, 2006, nr 2, s. 5-30, bibliogr. 44 poz.
Operations Research and Decisions
Inwestor instytucjonalny, Ryzyko papierów wartościowych, Reforma systemu emerytalnego, Giełda papierów wartościowych, Fundusze emerytalne, Model GARCH, Analiza zdarzeń
Institutional investors, Securities risk, Pension system reform, Stock market, Pension funds, GARCH model, Event study
streszcz., summ.
W artykule podjęto próbę odpowiedzi na pytanie, czy rosnący udział inwestorów instytucjonalnych, wskutek reformy systemu emerytalnego wzorowanej na modelu latynoamerykańskim, prowadzi do zasadniczych zmian w poziomie autokorelacji i ryzyka stóp zwrotu akcji, notowanym na rynku wewnętrznym. Nasze zainteresowanie w wyżej wymienionym przedmiocie zostało ograniczone do przypadku reformy systemu emerytalnego, którą przeprowadzono w Polsce w końcu lat dziewięćdziesiątych. Wyniki empiryczne uzyskano w oparciu o warunkowe współczynniki autokorelacji i warunkowe współczynniki beta, wygenerowane przy użyciu modelu M-GARCH dla pojedynczych akcji, notowanych na Giełdzie Papierów Wartościowych w Warszawie. W toku badań stwierdzono, że autokorelacja stóp zwrotu akcji ma tendencję do wzrostu, a ryzyko do spadku, w okresie po reformie systemu emerytalnego. Obecność funduszy emerytalnych na krajowym rynku akcji umożliwia zatem inwestorom budowanie lepszych prognoz przyszłego kursu akcji oraz kontrolę poziomu ryzyka. Przy użyciu odmiany analizy zdarzeń wykazano również, że poziom autokorelacji stóp zwrotu akcji staje się nieistotny w sąsiedztwie ogłoszeń o transferze składek ubezpieczeniowych na konta otwartych funduszy emerytalnych. (abstrakt oryginalny)

In this paper, we try to answer the question as to whether the increasing share of institutional investors resulting from the pension system reform stylized on the Laotian pattern leads to substantial changes in the risk level and stock return autocorrelation on the domestic capital market. Our interest in this subject is limited to the case of the Polish pension system reform that took place at the end of the 1990s. We present empirical evidence using conditional autocorrelation and beta estimates generated from the M–GARCH model for individual stocks listed on the Warsaw Stock Exchange (WSE). It turned out that stock return autocorrelation tends to increase, and risk (proxied by beta) declines after the reform. Therefore, with the presence of pensions funds on the domestic capital market investors can somewhat better anticipate the future course of stock prices and control their risk level. In addition, using a variant of event study methodology, we show that autocorrelation in stock returns becomes negligible around the day of insurance contribution transfers to pension funds. (original abstract)
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