Large capital inflows and stock returns in a thin market
AbstractUsing 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.
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Bibliographic InfoPaper provided by National Bank of Poland, Economic Institute in its series National Bank of Poland Working Papers with number 120.
Date of creation: 2012
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Institutional Investors; Stock Market Returns; Pension Funds; Capital Flows.;
Other versions of this item:
- Janusz BrzeszczyÅ„ski & Martin T. Bohl & DobromiÅ‚ Serwa, 2012. "Large Capital Inflows and Stock Returnsin a Thin Market," CFI Discussion Papers 1203, Centre for Finance and Investment, Heriot Watt University.
- 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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