Large Capital Inflows and Stock Returnsin a Thin Market

Janusz BrzeszczyÅ„ski, Martin T. Bohl and Dobromił Serwa ()
Authors registered in the RePEc Author Service: Janusz J. Brzeszczynski

No 1201, CFI Discussion Papers from Centre for Finance and Investment, Heriot Watt University

Abstract: Using unique data about capital flows to private pension funds in Poland, we find that their impact, as a group of large institutional investors, on stock returns is statistically significant in short-term but no such effect exists in the long-run. We analyze the capital transfers, in form of the aggregated pension contributions collected from all employees in the entire Polish economy, from the public social security institute ZUS in Poland to the private pension funds, which further invest this capital on the stock market. The average time for the subsequent reaction of stock prices is found to be 4 days.

Date: 2012
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Working Paper: Large capital inflows and stock returns in a thin market (2012)
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