Institutional Investors and Stock Market Efficiency: The Case of the January Anomaly

Bohl, Martin T.; Gottschalk, Katrin; Henke, Harald; Pal, Rozalia

doi:10.2139/ssrn.892144

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Institutional Investors and Stock Market Efficiency: The Case of the January Anomaly

European University Viadrina Postgraduate Research Programme Working Paper

31 Pages Posted: 18 Apr 2006

See all articles by Martin T. Bohl

Katrin Gottschalk

Auckland University of Technology - Business School - Department of Finance; European University Viadrina - Department of Finance and Capital Market Theory

Harald Henke

European University Viadrina, Frankfurt (Oder)

Rozalia Pal

European Investment Bank

Date Written: March 2006

Abstract

In this paper, we investigate the effect of institutional investors on the January stock market anomaly. The Polish and Hungarian pension system reforms and the associated increase in investment activities of pension funds are used as a unique institutional characteristic to provide evidence on the impact of individual versus institutional investors on the January effect. We find robust empirical results that the increase in institutional ownership has reduced the magnitude of an anomalous January effect induced by individual investors' trading behavior.

Keywords: Institutional traders, individual investors, January effect, Polish and Hungarian pension fund investors

JEL Classification: G14, G23

Suggested Citation: Suggested Citation

Bohl, Martin T. and Gottschalk, Katrin and Henke, Harald and Pal, Rozalia, Institutional Investors and Stock Market Efficiency: The Case of the January Anomaly (March 2006). European University Viadrina Postgraduate Research Programme Working Paper, Available at SSRN: https://ssrn.com/abstract=892144 or http://dx.doi.org/10.2139/ssrn.892144