Institutional traders' behavior in an emerging stock market: Empirical evidence on Polish pension fund investors

Journal of Business Finance and Accounting

Volumn 32, Issue 7-8, 2005, Pages 1537-1560

  Voronkova, Svitlana ^a   Bohl, Martin T ^b  

^a TRINITY COLLEGE DUBLIN   (Ireland)

^b EUROPEAN UNIVERSITY VIADRINA   (Germany)

Author keywords

Feedback trading; Herding; Pension funds; Polish stock market

Indexed keywords

EID: 27844509612     PISSN: 0306686X     EISSN: 14685957     Source Type: Journal    
DOI: 10.1111/j.0306-686X.2005.00639.x     Document Type: Review

References (37)

1. Badrinath, S.G. and S. Wahal (2002), 'Momentum Trading by Institutions', Journal of Finance, Vol. 57, pp. 2449-78.
2. Banerjee, A. (1992), 'A Model of Herd Behavior', Quarterly Journal of Economics, Vol. 107, pp. 797-817.
3. Bikhchandani, S. and S. Sharma (2000), 'Herd Behavior in Financial Markets: A Review', IMF Working Paper WP/00/48.
4. Blake, D. and A. Timmermann (2002), 'Performance Benchmarks for Institutional Investors: Measuring, Monitoring and Modifying Investment Behavior', in J. Knight and S. Satchell (eds.), Performance Measurement in Finance: Firms, Funds and Managers (Butterworth Heinemann, Oxford).
5. _ B. Lehmann and A. Timmermann (2002), 'Performance Clustering and Incentives in the UK Pension Fund Industry', Journal of Asset Management, Vol. 3, pp. 173-94.
6. Borensztein, E.R. and R.G. Gelos (2000), 'A Panic-Prone Pack? The Behavior of Emerging Market Mutual Funds', IMF Working Paper, WP/00/198.
7. Brown, S.J., W. Goetzman, R.G. Ibbotson and S.A. Ross (1992), 'Survivorship Bias in Performance Studies', Review of Financial Studies, Vol. 5, pp. 553-80.
8. Brycki, G. and S. Karpinski (2002), 'Giełda coraz płytsza nawet dla OFE', Rzeczpospolita, 2002.01.11.
9. Carpenter, J.N. and A.W. Lynch (1999), 'Survivorship Bias and Attrition Effects in Measures of Performance Persistence', Journal of Financial Economics, Vol. 54, pp. 337-74.
10. Davis, E.P. (1997), Pension Funds: Retirement-Income Security and Capital Markets: An International Perspective (Oxford University Press).
11. _ and B. Steil (2000), Institutional Investors (MIT Press).
12. Froot, K.A., D.S. Scharfstein and J.C. Stein (1992), 'Herd on the Street: Informational Inefficiencies in a Model with Short-Term Speculation', Journal of Finance, Vol. 67, pp. 1461-84.
13. Grinblatt, M. and S. Titman (1992), 'The Persistence of Mutual Fund Performance', Journal of Finance, Vol. 47, pp. 1977-84.
14. _ _ and R. Wermers (1995), 'Momentum Investment Strategies, Portfolio Performance and Herding: A Study of Mutual Fund Behavior', American Economic Review, Vol. 85, pp. 1088-105.
15. Hadyniak, B. and J. Monkiewicz (1999), 'Fundusze Emerytalne. II Filar', Seria Ubezpieczenia, Warsawa.
16. Hirshleifer, D., A. Subrahmanyam and S. Titman (1994), 'Security Analysis and Trading Patterns When Some Investors Receive Information Before Others', Journal of Finance, Vol. 69, pp. 1665-98.
17. Jones, S.L., D. Lee and E. Weis (1999), 'Herding and Feedback Trading by Different Type of Institutions and the Effects on Stock Prices', Working Paper (Kelley School of Business, Indiana University).
18. Karpinski, S. (2002a), ' Fundusze emerytalne. Inwestycje w akcje w 2001 roku', Rzeczpospolita, 2002.01.16.
19. _ (2002b), 'Rośnie Znaczenie OFE', Rzeczpospolita, 2002.01.07
20. _ (2003), 'Ofiara Niskiej Plynności', Rzeczpospolita, 2003.03.04.
21. KNUiFE (2003a), 'Rocznik Ubezpieczeń i Funduszy Emerytalnych 2002' (www.knuife.gov.pl).
22. _ (2003b), 'Buletyn Miesiçczny Komisji Nadzoru Ubezpieczeń i Funduszy Emerytalnych', Nr. 5 (46) listopad 2003 (www.knuife.gov.pl).
23. _ (2003c), 'Buletyn Miesiçczny Komisji Nadzoru Ubezpieczeń i Funduszy Emerytalnych', Nr. 11(52) listopad 2003 (www.knuife.gov.pl).
24. Lakonishok, J., A. Shleifer and R. Vishny (1992), 'The Impact of Institutional Trading on Stock Prices', Journal of Financial Economics, Vol. 32, pp. 23-43.
25. _ _ R. Thaler and R. Vishny (1991), 'Window Dressing by Pension Fund Managers', American Economic Review, Vol. 81, pp. 227-31.
26. Law on Organisation and Operation of Pension Funds (1997), (www.knuife.gov.pl).
27. th Annual Meeting of European Bank for Reconstruction and Development.
28. Pennachi, G.G. (1998), 'Government Guarantees on Funded Pension Returns', Social Protection Discussion Paper (World Bank).
29. Roll, R. (1992), 'A Mean/Variance Analysis of the Tracking Error', Journal of Portfolio Management, Vol. 18, pp. 13-22.
30. Scharfstein, D.S. and J.C. Stein (1990), 'Herd Behavior and Investment', American Economic Review, Vol. 80, pp. 465-79.
31. Schroder, M. and J. Koke (2001), 'The Role of Capital Markets in Central and Eastern Europe: Today and in the Future' (Centre for European Economic Research).
32. Sentana, E. and S. Wadhwani (1992), 'Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data', The Economic Journal, Vol. 102, pp. 415-25.
33. Simonetti, A. (2000), 'Pension Funds in Latin America: Features and Limits', in Insurance and Private Pensions Compendium for Emerging Economies, Book 2 (OECD).
34. Stanko, D. (2003a), 'Performance Evaluation of Public Pension Funds: The Reformed Pension System in Poland', Discussion Paper PI-0308 (The Pensions Institute, Birkbeck College, University of London).
35. _ (2003b), 'Polish Pension Funds. Does the System Work? Cost, Efficiency and Performance Measurement Issues', Discussion Paper PI-0302 (The Pensions Institute, Birkbeck College, University of London).
36. Wermers, R. (1999), 'Mutual Fund Herding and the Impact on Stock Prices', Journal of Finance, Vol. 54, pp. 581-622.
37. Yermo, J. (2000), 'Pension Funds in Latin America: Recent Trends and Regulatory Challenges', in Insurance and Private Pensions Compendium for Emerging Economies, Book 2, (OECD).