Institutional Trading and Return Autocorrelation: Empirical
Evidence on Polish Pension Fund Investors’ Behavior

Bartosz Gebka, Harald Henke and Martin T. Bohl


In this paper, we extend the empirical finance literature about the influence
of institutional traders by investigating the impact of Polish pension funds
trading on individual stock return autocorrelation. The pension reform in
1999 and the associated increase in institutional traders’ investment
activities provides the unique opportunity to receive additional insight into
the behavior of institutional investors in an emerging capital market. Performing
a variant of the event study methodology we find only very litle empirical
evidence supporting existing theories predicting positive return autocorrelation
due to the influence of institutional traders’ investment activities. Rather,
our cross-sectional analysis reveals a negative relationship between the
trading of pension funds and autocorrelation in returns of individual stocks.

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