日本央行的股票购买和股票流动性不足

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2023-03-01 DOI:10.1016/j.finmar.2022.100770

Izidin El Kalak , Woon Sau Leung , Hidenori Takahashi , Kazuo Yamada

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引用次数: 3

摘要

本文利用日本央行(BOJ)的大规模指数挂钩型交易所交易基金(ETF)购买计划，研究了非常规股票型货币政策在基础证券市场流动性中的作用。使用日本股票的大样本，我们记录了当一家公司的日本央行所有权增加时，股票非流动性显著增加。ETF套利活动加剧在一定程度上起到了中介作用。流动性不足的增加主要集中在小公司和年轻公司，以及那些股票可能受到强烈购买压力的公司。最后，日本央行的所有权增加了流动性的流动性，降低了信息效率。

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The Bank of Japan's equity purchases and stock illiquidity

Using the large-scale index-linked exchange-traded fund (ETF) purchase program of the Bank of Japan (BOJ), we examine the role of unconventional equity-based monetary policies in the market liquidity of the underlying securities. Using a large sample of Japanese stocks, we document a significant increase in stock illiquidity when a firm's ownership by the BOJ increases. Intensified ETF arbitrage activities partially mediate such effect. The increased illiquidity is concentrated among small and young firms and those whose shares are likely subject to strong buying pressure. Finally, BOJ ownership increases comovement in liquidity and reduces informational efficiency.

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.