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Large capital inflows and stock returns in a thin market

  • Janusz Brzeszczynski

    ()

    (Department of Accountancy, Economics and Finance, Heriot-Watt University)

  • Martin T. Bohl

    (Westfälische Wilhelms University)

  • Dobromił Serwa

    (National Bank of Poland, Warsaw, Poland and Warsaw School of Economics)

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.

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File URL: http://www.nbp.pl/publikacje/materialy_i_studia/120_en.pdf
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Paper provided by National Bank of Poland, Economic Institute in its series National Bank of Poland Working Papers with number 120.

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Length: 38
Date of creation: 2012
Date of revision:
Handle: RePEc:nbp:nbpmis:120
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