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

Martin T. Bohl

University of Muenster

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

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

Martin T. Bohl

University of Muenster ( email )

Schlossplatz 2
D-48149 Muenster, D-48149
Germany

Katrin Gottschalk (Contact Author)

Auckland University of Technology - Business School - Department of Finance ( email )

3 Wakefield Street
Private Bag 92006
Auckland Central 1020
New Zealand
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HOME PAGE: http://www.aut.ac.nz

European University Viadrina - Department of Finance and Capital Market Theory

Grosse Scharrnstr. 59
P.O. Box 1786
Frankfurt (Oder), 15230
Germany
++49-177-6624930 (Phone)

Harald Henke

European University Viadrina, Frankfurt (Oder) ( email )

Department of Finance and Capital Market Theory
Gr. Scharrnstr. 59
15230 Frankfurt (Oder)
Germany

Rozalia Pal

European Investment Bank ( email )

98-100 Boulevard Konrad Adenauer
L-2950
Luxembourg

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