| 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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| 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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