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