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
Date Written: July 2, 2012
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