Your transfer speed is likely not to be limited by Java. Instead I would suspect (in no particular order)
If you read the complete dataset and then write it out to disk, then that will take longer, since the JVM will have to allocate memory, and the db rea/disk write will happen sequentially. Instead I would write out to the buffered writer for every read that you make from the db, and so the operation will be closer to a concurrent one (I don't know if you're doing that or not)