BazEkon - The Main Library of the Cracow University of Economics

BazEkon home page

Main menu

Author
Gurgul Henryk, Majdosz Paweł
Title
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
Source
Badania Operacyjne i Decyzje, 2006, nr 2, s. 5-30, bibliogr. 44 poz.
Operations Research and Decisions
Keyword
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
Note
streszcz., summ.
Abstract
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)
Accessibility
The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics
Full text
Show
Bibliography
Show
  1. ARBEL A., STREBEL P., Pay Attention to Neglected Finns, Journal of Portfolio Management, 9, 1983, 37-42.
  2. BADRINATH S.G., KALE J.R., NOE T.H., On Shephards, Sheeps, and the Cross-Autocorrelation in Equity Returns, The Review of Financial Studies, 8, 1995, 401-430.
  3. BARCLAY M.J., WARNER J.B., Stealth Trading and Volatility. Which Trades Move Prices?, Journal of Financial Economics, 34, 1993, 281-305.
  4. BAUWENS L., LAUTENT S., ROMBOUTS J.V.K., Multivariate GARCH Models: A Survey, Core Discussion Paper 2003/31.
  5. BOLLERSLEV T., Modeling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Approach, Review of Economics and Statistics, 72, 1990, 498-505.
  6. BOLLERSLEV T., ENGLE R.F., WOOLDRIDGE J.M, A Capital Assets Pricing Model with Time Varying Covariances, Journal of Political Economy, 96,1988, 116-131.
  7. BONIN H., GIL J., PATXOT C., Beyond the Toledo Agreement: The International Impact of the Spanish Pension Reform, Policy Research Working Paper (August 1999), http://ssrn.com/abstract=173020.
  8. BÖRSCH-SUPAN A., HEISS F., LUDWIG A., WINTER J., Pension Reform, Capital Markets, and the Rate of Return, MEA Discussion Paper Series, No. 0223, 2002.
  9. BÖRSCH-SUPAN A., WINTER J., Pension Reform, Savings Behavior and Corporate Governance, Sunder Forschungs Bereich, 504, 2002.
  10. BOSWQRTH B., BURTLESS G., Pension Reform in the Presence of Financial Market Risk, SSRN Working Paper, No. 319973, 2002.
  11. BROOKS R.D., FAFF R.W., McKENZIE M.D., Time-Varying Beta Risk of Australian Industry Portfolios: A Comparison of Modelling Techniques, Australian Journal of Management, 23, No. 1, 1998.
  12. BROOKS R.D., FAFF R.W., McKENZIE M.D., U.S. Banking Sector Risk in an Era of Regulatory Change: A Bivariate GARCH Approach, Review of Quantitative Finance and Accounting, 14, 2000, 17-43.
  13. CHALON A., GÓRA M., RUTKOWSKI M., Shaping Pension Reform in Poland: Security Through Diversity, World Bank, Social Protection Discussion Paper, No. 9923, 1999.
  14. DOBRONOGOV A., MAYHEW L., Pension Reform in a Highly Informalized Post-Soviet Economy, Interim Report, IR-00-41/July, 2000.
  15. ENGLE R.F., Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Model, Journal of Business and Economic Statistics, 20, 2002, 339-350.
  16. ENGLE R.F., SHEPPARD K., Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH, NBER Working Paper, No. 8554, 2001.
  17. FAMA E.F., Efficient Capital Market: A Review of Theory and Empirical Work, Journal of Finance, 25, 1970,383-417.
  18. FAMA E.F., Efficient Capital Markets: II, Journal of Finance, 46, 1991, 1575-1617.
  19. GEBKA B., HENKE H., BOHL M. T., Institutional Trading and Return Autocorrelation: Empirical Evidence on Polish Pension Fund Investors’ Behavior, forthcoming, 2004.
  20. GERSDOF H., The Bolivian Pension Reform. Innovative Solution to Common Problems, Policy Research Working Paper, 1997, http://worldbank.org/html/dec/Publications/Workpapers/WPS1800series/wps1832/wps1832.pdf.
  21. GONZALES-RIVERA G., Time-Varying Risk. The Case of the American Computer Industry, Journal of Empirical Finance, 2, 1996, 333-342.
  22. GURGUL H., MAJDOSZ P., Analiza empiryczna efektu polepszania wyników w sektorze otwartych funduszy emerytalnych w Polsce, Folia Oeconomica Cracoviensia, Vol. XLII-XLIV, 2004, 31-50.
  23. GURGUL H., MAJDOSZ P., Inwestycje otwartych funduszy emerytalnych a kursy akcji na giełdzie warszawskiej, Folia Oeconomica Cracoviensia, PAN, Vol. XLV, 2004, 5-20.
  24. GURGUL H., MESTEL R., SCHLEICHER CH., Stock Market Reactions to Dividend Announcements: Empirical Evidence from the Austrian Stock Market, Financial Markets and Portfolio Management, Vol. 17, No. 3, 2003, 332-350.
  25. HAUSNER J., Poland: Security Through Diversity, Working Paper, 2000, http://nber.org/confer/2000/pension00/hausner.pdf.
  26. LAKONISHOK J., SHLEJFER A., VISHNY R.W., Do Institutional Investors Destabilize Stock Prices? Evidence on Herding and Feedback Trading, NBER Working Paper, No. 3846, 1991.
  27. LEBARON B., Some Relations Between Volatility and Serial Correlation in Stock Market Returns, Journal of Business, 65, 1992, 199-219.
  28. LEFORT F., WALKER E., Pension Reform and Capital Market: Are there any (Hard) Links?, EFMA 2000 Athens, http://ssrn.com/abstracts239531.
  29. McKENZIE M.D., FAFF R.W., The Determinants of Conditional Autocorrelation in Stock Returns, The Journal of Financial Research, Vol. XXVI, No. 2, 2003, 259-274.
  30. NEWEY W.K., WEST K.D., A Simple Positive Semi-Definite, Heteroscedasticity and Autocorrelation Consistence Covariance Matrix, Econometrica, 55, 1987, 703-708.
  31. NORASHFAH Y., Beta Measurement Procedures in the Malaysian Banking Sector, Working Paper, 2003, http://bus.okstate.edu/fin/dept/SWFA/Papers.
  32. QUEISSER M., BAILY C., WOODALL J., Reforming Pensions in Zambia. An Analysis of Existing Schemes and Options for Reform, Policy Research Working Paper, No. 1716, 1997.
  33. SÄFVENBLAD P., Trading Volume and Autocorrelation: Empirical Evidence from the Stockholm Stock Exchange, Working Paper Series in Economics and Finance, No. 191, 1997.
  34. SCHMIDT-HEBBEL K., Does Pension Reform Really Spur Productivity, Savings, and Growth, Docu-mentos de Trabajo del Banko Central, No. 33, 1998.
  35. SEEGER C.M, PATTON H.C. Background for Financial Market Development in Ukraine, FMI, Working Paper (January 1, 2000), http://ssrn.com/abstract=231816.
  36. SENTANA E., WADHWANI S., Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data, Economic Journal, 102,1992,415-425.
  37. SIAS R.W., STARKS L.T., TITMAN S., The Price Impact of Institutional Trading, Working Paper, (August 25, 2001), http://ssrn.com/abstract=283779.
  38. SIAS R.W., STARKS L.T., Return Autocorrelations and Institutional Investors, Journal of Financial Economics, 46, 1997, 103-131.
  39. Tsui A.K., Yu Q., Constant Conditional Correlation in a Bivariate GARCH Model: Evidence from the Slock Market in China, Mathematics and Computers in Simulation, 48, 1999, 503-509.
  40. VlTTAS D., Pension Reform and Capital Market Development: "Feasibility" and "Impact" Preconditions, Working Papers - Domestic finance, No. 2414, 1997.
  41. VlTTAS D., The Argentine Pension Reform and Its Relevance for Eastern Europe, Working Papers -Poverty, No. 1819, 1998.
  42. WANG J., A Model of Competitive Stock Trading Volume, Journal of Political Economy, 102, 1994, 127-168.
  43. WATANABE T., Margin Requirements, Positive Feedback Trading, and Stock Return Autocorrelation: The Case of Japan, Applied Financial Economics, 12, 2002, 395-403.
  44. WINTER J., The Impact of Pension Reforms and Demography on Stock Markets, Working Paper, 2002, http://mea.uni-mannheim.de/mea_neu/pages/files/nopage_pubs/dp21.pdf.
Cited by
Show
ISSN
1230-1868
Language
eng
Share on Facebook Share on Twitter Share on Google+ Share on Pinterest Share on LinkedIn Wyślij znajomemu