Issue: 2006/Vol.16/No.2, Pages 5-30
THE IMPACT OF INSTITUTIONAL INVESTORS ON RISK AND STOCK RETURN AUTOCORRELATIONS IN THE CONTEXT OF THE POLISH PENSION REFORM
Henryk Gurgul
, Paweł Majdosz
Cite as: H. Gurgul, P. Majdosz. The impact of institutional investors on risk and stock return autocorrelations in the context of the Polish pension reform. Operations Research and Decisions 2006: 16(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
Received: Accepted: