PL EN


2004 | 45 | 5-20
Article title

INVESTMENTS IN THE PENSION FUNDS AND THEIR IMPACT ON THE STOCK PRICES ON WARSAW STOCK EXCHANGE

Authors
Title variants
Languages of publication
PL
Abstracts
EN
The main purpose of the paper is to examine the effect of the investments of the pension funds operating in Poland on stock prices on the Warsaw Stock Exchange. We used two different models to estimate the abnormal returns. First of them is Market Model (simple regression with dummy variable). Because financial time series are usually autocorellated and exhibit heteroscedasticity, advanced bivariate ARMA-GARCH market model was also used. Our results show that in March of 2000 the effects of the investments of the pension funds on stock prices can be identified. In the other cases reaction of the stock prices is not statistically significant.
Year
Volume
45
Pages
5-20
Physical description
Document type
ARTICLE
Contributors
author
  • H. Gurgul, Akademia Górniczo-Hutnicza w Krakowie, Zaklad Programowania Matematycznego, al. Mickiewicza 30, 30-059 Kraków, Poland
References
Document Type
Publication order reference
Identifiers
CEJSH db identifier
08PLAAAA04118016
YADDA identifier
bwmeta1.element.9afdb92b-4b08-3ec1-9c1f-f153c9369947
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