Large capital inflows and stock returns in a thin market

Janusz Brzeszczynski, Martin T. Bohl and Dobromił Serwa ()
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Martin T. Bohl: Westfälische Wilhelms University

No 120, NBP Working Papers from Narodowy Bank Polski

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.

Keywords: Institutional Investors; Stock Market Returns; Pension Funds; Capital Flows. (search for similar items in EconPapers)
JEL-codes: G15 G23 (search for similar items in EconPapers)
Pages: 38
Date: 2012
New Economics Papers: this item is included in nep-tra
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Related works:
Working Paper: Large Capital Inflows and Stock Returnsin a Thin Market (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:nbp:nbpmis:120

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