Institutional Traders’ Behavior in an Emerging Stock Market: Empirical Evidence on Polish Pension Fund Investors
分析波兰养老基金在股票市场的投资行为，发现其比成熟市场更频繁地采用羊群效应和反馈交易策略，主要归因于严格的投资监管和高市场集中度，但未发现其交易对未来股价有显著影响。
Abstract: In this paper, we contribute to the literature on institutional herding and feedback trading by analysing the investment behavior of pension funds on the Polish stock market. Pension funds entered into the stock market due to the national pension system reform in 1999, providing a unique opportunity to receive deeper insight into the behavior of institutional investors in an emerging capital market. Our results show that Polish pension fund investors are to a greater extent involved in herd‐like behavior and pursue feedback trading strategies more often than their counterparts in mature markets. This finding is primarily attributed to a stringent investment regulation and high market concentration. We do not detect, however, that trading by the pension funds exerts significant influence on the future stock prices.