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Large Capital Inflows and Stock Returnsin a Thin Market

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  • Janusz BrzeszczyÅ„ski
  • Martin T. Bohl
  • DobromiÅ‚ Serwa

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.

Suggested Citation

  • Janusz BrzeszczyÅ„ski & Martin T. Bohl & DobromiÅ‚ Serwa, 2012. "Large Capital Inflows and Stock Returnsin a Thin Market," CFI Discussion Papers 1201, Centre for Finance and Investment, Heriot Watt University.
    • Handle: RePEc:hwe:cfidps:1203
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    More about this item

    JEL classification:

    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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