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...

This paper considers different ways of forecasting UK RPI inflation. We show that the inflation risk premium on nominal gilts and inflation swaps vary significantly over time. The average inflation risk premia on both of these market instruments have increased considerably since 2004 and during...

The paper compares beta estimates obtained from OLS regression with estimates corrected  for heteroscedasticity  of the error term using ARCH models,  for  145 UK shares. The differences are  mainly  less than 0.10, for betas calculated using daily returns, but even...

In this paper, we analyze the profitability of investments in stocks from the RESPECT sustainability index at the Warsaw Stock Exchange (WSE) since its launch in year 2009 until the year 2018. We calculate raw returns for individual component stocks, estimate their beta coefficients as well as...

Employing unique data derived directly from Reuters electronic brokerage platform for currency trading, this paper investigates the reaction of investors to central bank announcements on foreign exchange market in Poland in years 1999-2003. Our sample period is interesting as it captures a time...

This paper investigates whether a particular magnitude and direction of meteor showers in returns dominates the performance of domestic trading in U.S., European and Australasian global markets. Direct and indirect channels of foreign information transmission are modelled by stochastic parameter...

The VIX index is commonly known as the “fear index”. Similar indices are introduced in the UK and in the European stock markets. In this study, we investigate whether such indices reflect investors’ fear. Our results from long-horizon predictive regressions show that the movements of these...

Keyword-based measures purporting to reflect investor sentiment, attention or uncertainty have been increasingly used to model stock market behaviour. We investigate and shed light on the narrative reflected by Google search trends (GST) by constructing a neutral and general stock market-related...