Effects of the Asset Purchase Program and the Negative Interest Rate Policy of the Bank of Japan on Securities Markets
| Project/Area Number |
17H02546
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Money/ Finance
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| Research Institution | Osaka University |
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Principal Investigator |
Ohta Wataru 大阪大学, 経済学研究科, 教授 (20293681)
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| Co-Investigator(Kenkyū-buntansha) |
大西 匡光 大阪大学, 経済学研究科, 教授 (10160566)
大屋 幸輔 大阪大学, 経済学研究科, 教授 (20233281)
岩壷 健太郎 神戸大学, 経済学研究科, 教授 (90372466)
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| Project Period (FY) |
2017-04-01 – 2020-03-31
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| Project Status |
Completed (Fiscal Year 2019)
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| Budget Amount *help |
¥15,470,000 (Direct Cost: ¥11,900,000、Indirect Cost: ¥3,570,000)
Fiscal Year 2019: ¥5,070,000 (Direct Cost: ¥3,900,000、Indirect Cost: ¥1,170,000)
Fiscal Year 2018: ¥4,420,000 (Direct Cost: ¥3,400,000、Indirect Cost: ¥1,020,000)
Fiscal Year 2017: ¥5,980,000 (Direct Cost: ¥4,600,000、Indirect Cost: ¥1,380,000)
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| Keywords | マーケット・マイクロストラクチャー |
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| Outline of Final Research Achievements |
In securities markets, large traders can affect price efficiency and liquidity through their own trading and the strategic responses of other participants. We assume that the Bank of Japan is a large liquidity trader in securities markets and investigate the effects of its asset purchase program. Our results show that both price efficiency and liquidity increase when the large trader submit orders. On the other hand, when participants anticipate the large trader not to submit orders in the near future, price efficiency increases while liquidity decreases. In summary, large traders can affect markets not only by their trading but also by their non-trading.
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| Academic Significance and Societal Importance of the Research Achievements |
証券市場において、大口投資家は価格形成に影響を与えると考えられる。しかし、大口投資家は、フロントランニング等を避けるため、その売買を通常は公表しない。それに対して日本銀行は、ETF/REITの購入金額を日次で公表しており、その情報を用いることにより、従来はその影響を評価することが困難であった大口投資家の行動が市場に与える影響を分析し、理論と整合的であることを明らかにした。
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Report
(4 results)
Research Products
(71 results)
