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Institutional Trading, Trading Mechanisms and Equity Market Integration: Essays on the Polish Stock Market

  • The launch of financial reforms in Central and Eastern Europe (CEE) at the beginning of the 1990s stimulated increased interest of investors and academics in the newly-born stock markets of this region. Most of the existing studies, however, consider a group of the CEE markets, stressing their commonalities and discarding the fact that though these markets started at approximately the same time, due to the different starting conditions and reform paths, nowadays they differ considerably in terms of size and significance for domestic economies. In the present thesis, we focus on the Polish stock market, as it is considered to be an example of consistent and successful financial market reforms. There are, however, several important features pertaining to the institutional and regulation aspects of the Polish stock market that may impact formation of equity prices, which nevertheless failed to attract the interest of the researchers so far. Some of these features are common with other emerging markets, whichThe launch of financial reforms in Central and Eastern Europe (CEE) at the beginning of the 1990s stimulated increased interest of investors and academics in the newly-born stock markets of this region. Most of the existing studies, however, consider a group of the CEE markets, stressing their commonalities and discarding the fact that though these markets started at approximately the same time, due to the different starting conditions and reform paths, nowadays they differ considerably in terms of size and significance for domestic economies. In the present thesis, we focus on the Polish stock market, as it is considered to be an example of consistent and successful financial market reforms. There are, however, several important features pertaining to the institutional and regulation aspects of the Polish stock market that may impact formation of equity prices, which nevertheless failed to attract the interest of the researchers so far. Some of these features are common with other emerging markets, which makes the results of our study interesting to a broader international audience. This thesis consists of four separate self-contained essays. They extend four streams of the empirical literature on the developing European stock markets: investment behavior of institutional investors; impact of institutional demand on individual and aggregate stock prices; effects of trading mechanism regulation on stock return autocorrelation and volatility; predictability of stock returns due to long-run relationships between developing European and mature markets. Some of the results of the present research appear to challenge findings documented in the previous literature and question the extant policies, thus suggesting areas for future research.show moreshow less

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Metadaten
Author:Svitlana Voronkova
URN:urn:nbn:de:kobv:521-opus-00125
Advisor:Martin T. Bohl
Document Type:Doctoral Thesis
Language:English
Date of Publication (online):2007/01/22
Publishing Institution:Europa-Universität Viadrina Frankfurt
Granting Institution:Europa-Universität Viadrina Frankfurt, Wirtschaftswissenschaftliche Fakultät
Date of final exam:2004/07/09
Release Date:2007/01/22
Tag:Aktienmarkt; Anlagepolitik; Institutioneller Anleger; Mikrostrukturtheorie <Kapitalmarkttheorie>; Polen
Emerging Markets; Financial Markets; Stock Returns
GND Keyword:Polen; Aktienmarkt; Anlagepolitik; Institutioneller Anleger; Mikrostrukturtheorie <Kapitalmarkttheorie>
Institutes:Wirtschaftswissenschaftliche Fakultät / Wirtschaftswissenschaftliche Fakultät
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
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