Large Capital Inflows and Stock Returns in a Thin Market

Brzeszczynski, Janusz; Bohl, Martin T.; Serwa, Dobromil

doi:10.2139/ssrn.2109399

Large Capital Inflows and Stock Returns in a Thin Market

National Bank of Poland Working Paper No. 120

38 Pages Posted: 18 Jul 2012 Last revised: 8 Jul 2016

See all articles by Janusz Brzeszczynski

Janusz Brzeszczynski

Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom

Dobromil Serwa

National Bank of Poland; Warsaw School of Economics (SGH)

Date Written: July 2, 2012

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

JEL Classification: G23, G15

Suggested Citation: Suggested Citation

Brzeszczynski, Janusz and Bohl, Martin T. and Serwa, Dobromil, Large Capital Inflows and Stock Returns in a Thin Market (July 2, 2012). National Bank of Poland Working Paper No. 120, Available at SSRN: https://ssrn.com/abstract=2109399 or http://dx.doi.org/10.2139/ssrn.2109399