The impact of institutional investors on equity markets and their liquidity:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Amsterdam
Thela Thesis
2001
|
| Series: | Tinbergen Institute research series
258 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | VI, 205 S. graph. Darst. |
| ISBN: | 9051708289 |
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MARC
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Record in the Search Index
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| adam_text | Contents
1 Introduction 1
1.1 Motivation 1
1.2 Main issues 3
1.3 Outline of the dissertation 1
1 Capital markets, market liquidity and the impact of institu¬
tional investors 7
2 The role of capital markets 9
2.1 Introduction 9
2.2 The role of the financial system 10
2.3 Capital markets versus financial intermediaries 11
2.3.1 Comparative advantages of capital markets 12
2.3.2 Main advantages of financial intermediaries 11
2.3.3 Coexistence of the two financial structures 16
2.4 Capital market infrastructure 17
2.4.1 Legal environment 17
2.4.2 Financial regulation 18
i
ii CONTENTS
2.5 Recent developments in capital markets 21
2.5.1 Privatization and pension reform 22
2.5.2 Transition economies 23
2.6 Concluding remarks 24
3 Market liquidity 25
3.1 Introduction 25
3.2 What is liquidity? 26
3.3 Components of liquidity costs 27
3.3.1 Bid ask spread and the price impact costs 27
3.3.2 Other costs of liquidity 29
3.4 Determinants of liquidity costs 30
3.4.1 Market design 30
3.4.2 Competition and the fragmentation of order flow 31
3.4.3 Other determinants of liquidity costs 33
3.5 How can we assess liquidity? 34
3.5.1 Individual shares 34
3.5.2 Stock market as a whole 38
3.5.3 Additional measures of liquidity 3b
3.6 Concluding remarks 3J
4 Institutional investors and capital market (liquidity) 41
4.1 Introduction 4.2 Types of institutional investors and their organization
4.2.1 Tvpes of institutional investors
CONTENTS iii
4.2.2 The contrast between institutional and individual investors 46
4.3 The impact of institutional investors on equity market liquidity 48
4.3.1 Institutional trading 48
4.3.2 Institutional ownership 51
4.4 Concluding remarks 53
5 Theoretical insights into the relationship between institutional investors
and market liquidity 55
5.1 Introduction 55
5.2 Structure of the literature review 56
5.3 Market microstructure perspective 57
5.4 Corporate governance and ownership structure perspective 61
5.4.1 Institutional monitoring, risk sharing and liquidity 61
5.4.2 The liquidity control trade off 62
5.4.3 Ownership structure and market liquidity 68
5.5 Summary and concluding remarks 73
II Domestic institutional investors in Hungary and Slovenia:
an empirical analysis 75
6 The impact of domestic institutional investors on the Hungarian equity
market 77
6.1 Introduction 77
6.2 The Budapest Stock Exchange 79
6.3 Hungarian institutional investors 82
6.3.1 Pension funds 86
iv CONTENTS
6.3.2 Mutual funds 89
6.3.3 Portfolio structure of mutual funds 91
6.4 Ownership structure of listed firms 95
6.5 The impact of mutual funds on equity market liquidity 97
6.5.1 Liquidity of the Hungarian equity market 97
6.5.2 Trade in units of closed end funds on the BSE 101
6.5.3 The aggregate impact of open end fund flows on prices of shares . . 102
6.5.4 The impact of fund flows on the liquidity of the overall equity market 109
6.6 Concluding remarks 112
7 The impact of domestic mutual funds on the Slovenian equity market 113
7.1 Introduction 113
7.2 The Slovenian equity market 115
7.2.1 PID shares on the L.JSE 120
7.3 The Slovenian mutual fund industry 121
7.3.1 Size of mutual funds 121
7.3.2 Portfolio composition of PIDs 123
7.4 Ownership structure of Slovenian firms 126
7.4.1 Ownership dispersion of the LJSE listed firms 127
7.4.2 Ownership dispersion of unlisted firms 12
7.4.3 Ownership stakes of PIDs 129
7.5 PIDs and the equity market s liquidity 131
7.5.1 The impact of PID shares on the trading volume of non PID shares 132
7.5.2 PIDs and the equity market s turnover 135
CONTENTS v
7.5.3 PIDs and the liquidity of individual shares 138
7.6 Concluding remarks 146
7.A Institutional background of PIDs 148
7.B Open end mutual funds and the equity market (liquidity) 150
7.B.I Money flows to open end funds and market prices 152
8 Institutional investors and capital markets in transition economics: a
comparison between Hungary and Slovenia 155
8.1 Introduction 155
8.2 The Hungarian versus the Slovenian economy 156
8.2.1 Macroeconomic performance and foreign investment 156
8.2.2 Selected financial indicators 158
8.2.3 Financial infrastructure and legal environment 161
8.3 Hungarian and Slovenian mutual funds 162
8.3.1 Portfolio structure of mutual funds 164
8.3.2 Mutual funds as shareholders 165
8.3.3 Foreign versus domestic funds 165
8.3.4 The impact of mutual funds on the equity market and its liquidity . 167
8.4 Institutional investors and stock markets in other transition economies . . 168
8.5 Concluding remarks 170
9 Summary and conclusions 173
References 179
Samenvatting (Summary in Dutch) 197
Vi CONTENTS
Povzetek (Summary in Slovenian) 201
|
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| id | DE-604.BV014798352 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T19:07:18Z |
| institution | BVB |
| isbn | 9051708289 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-010014459 |
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| physical | VI, 205 S. graph. Darst. |
| publishDate | 2001 |
| publishDateSearch | 2001 |
| publishDateSort | 2001 |
| publisher | Thela Thesis |
| record_format | marc |
| series | Tinbergen Institute research series |
| series2 | Tinbergen Institute research series |
| spelling | Deželan, Silva Verfasser aut The impact of institutional investors on equity markets and their liquidity door Silva Deželan Amsterdam Thela Thesis 2001 VI, 205 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Tinbergen Institute research series 258 Amsterdam, Univ., Diss., 2001 Hochschulschrift gtt Liquidität (DE-588)4035908-6 gnd rswk-swf Aktienmarkt (DE-588)4130931-5 gnd rswk-swf Institutioneller Anleger (DE-588)4252195-6 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Institutioneller Anleger (DE-588)4252195-6 s Aktienmarkt (DE-588)4130931-5 s Liquidität (DE-588)4035908-6 s DE-604 Tinbergen Institute research series 258 (DE-604)BV004252095 258 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010014459&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Deželan, Silva The impact of institutional investors on equity markets and their liquidity Tinbergen Institute research series Hochschulschrift gtt Liquidität (DE-588)4035908-6 gnd Aktienmarkt (DE-588)4130931-5 gnd Institutioneller Anleger (DE-588)4252195-6 gnd |
| subject_GND | (DE-588)4035908-6 (DE-588)4130931-5 (DE-588)4252195-6 (DE-588)4113937-9 |
| title | The impact of institutional investors on equity markets and their liquidity |
| title_auth | The impact of institutional investors on equity markets and their liquidity |
| title_exact_search | The impact of institutional investors on equity markets and their liquidity |
| title_full | The impact of institutional investors on equity markets and their liquidity door Silva Deželan |
| title_fullStr | The impact of institutional investors on equity markets and their liquidity door Silva Deželan |
| title_full_unstemmed | The impact of institutional investors on equity markets and their liquidity door Silva Deželan |
| title_short | The impact of institutional investors on equity markets and their liquidity |
| title_sort | the impact of institutional investors on equity markets and their liquidity |
| topic | Hochschulschrift gtt Liquidität (DE-588)4035908-6 gnd Aktienmarkt (DE-588)4130931-5 gnd Institutioneller Anleger (DE-588)4252195-6 gnd |
| topic_facet | Hochschulschrift Liquidität Aktienmarkt Institutioneller Anleger |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010014459&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV004252095 |
| work_keys_str_mv | AT dezelansilva theimpactofinstitutionalinvestorsonequitymarketsandtheirliquidity |