• Search Research Projects
  • Search Researchers
  • How to Use
  1. Back to previous page

Effects of the Asset Purchase Program and the Negative Interest Rate Policy of the Bank of Japan on Securities Markets

Research Project

Project/Area Number 17H02546
Research Category

Grant-in-Aid for Scientific Research (B)

Allocation TypeSingle-year Grants
Section一般
Research Field Money/ Finance
Research InstitutionOsaka University

Principal Investigator

Ohta Wataru  大阪大学, 経済学研究科, 教授 (20293681)

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)
Project Period (FY) 2017-04-01 – 2020-03-31
Project Status Completed (Fiscal Year 2019)
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)
Keywordsマーケット・マイクロストラクチャー
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.

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。

Report

(4 results)
  • 2019 Annual Research Report   Final Research Report ( PDF )
  • 2018 Annual Research Report
  • 2017 Annual Research Report
  • Research Products

    (71 results)

All 2020 2019 2018 2017

All Journal Article (19 results) (of which Int'l Joint Research: 1 results,  Peer Reviewed: 6 results,  Open Access: 2 results) Presentation (51 results) (of which Int'l Joint Research: 10 results,  Invited: 4 results) Book (1 results)

  • [Journal Article] Optimal and Equilibrium Execution Strategies with Generalized Price Impact2020

    • Author(s)
      Ohnishi, M. and Shimoshimizu, M.
    • Journal Title

      Quantitative Finance

      Volume: 20 Pages: 1-20

    • Related Report
      2019 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 金融市場における価格インパクトを考慮した取引執行ゲーム2020

    • Author(s)
      大西匡光,下清水慎
    • Journal Title

      オペレーションズ・リサーチ

      Volume: 65 Pages: 271-278

    • Related Report
      2019 Annual Research Report
  • [Journal Article] Who influences the fundamental value of commodity futures in Japan?2020

    • Author(s)
      Kentaro Iwatsubo and Clinton Watkins
    • Journal Title

      International Review of Financial Analysis

      Volume: 67 Pages: 1-15

    • DOI

      10.1016/j.irfa.2019.101404

    • NAID

      120006784502

    • Related Report
      2019 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] 証券市場における大口投資家と流動性: 日本銀行REIT購入のケース2020

    • Author(s)
      太田亘
    • Journal Title

      現代ファイナンス

      Volume: -

    • NAID

      130007873518

    • Related Report
      2019 Annual Research Report
    • Peer Reviewed
  • [Journal Article] インプライド・モーメントがもたらす情報:VIXは何を伝えているのか2019

    • Author(s)
      大屋幸輔
    • Journal Title

      現代経済学の潮流 2019

      Volume: 2019 Pages: 99-125

    • Related Report
      2019 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Optimal and Equilibrium Execution Strategies with Generalized Price Impact2019

    • Author(s)
      Ohnishi, M. and Shimoshimizu, M.
    • Journal Title

      RIMS Kokyuroku

      Volume: 2111 Pages: 84-106

    • Related Report
      2019 Annual Research Report
  • [Journal Article] An Empirical Examination of Volatilityon Intraday Nikkei 225 Futures: A Bayesian Approach2019

    • Author(s)
      Ochiai, N. and Ohnishi, M.
    • Journal Title

      RIMS Kokyuroku

      Volume: 2106 Pages: 117-125

    • Related Report
      2019 Annual Research Report
  • [Journal Article] Crude Oil Prices, Capital Flows, and Emerging Economies2019

    • Author(s)
      岩壷 健太郎, 小笠原 悟
    • Journal Title

      Public Policy Review

      Volume: 15 Pages: 35-67

    • Related Report
      2019 Annual Research Report
    • Open Access
  • [Journal Article] 資源価格、資本フロー、新興国経済2019

    • Author(s)
      岩壷 健太郎, 小笠原 悟
    • Journal Title

      フィナンシャル・レヴュー

      Volume: 137 Pages: 35-61

    • Related Report
      2019 Annual Research Report
    • Open Access
  • [Journal Article] 大阪大学におけるOR教育の系譜と現在2019

    • Author(s)
      大西匡光,森田 浩,滝根哲也,乾口雅弘
    • Journal Title

      オペレーションズ・リサーチ

      Volume: 64 Pages: 40-42

    • Related Report
      2018 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 資源価格、資本フロー、新興国経済2019

    • Author(s)
      岩壷 健太郎, 小笠原 悟
    • Journal Title

      フィナンシャル・レヴュー

      Volume: 137, 2 Pages: 35-61

    • Related Report
      2018 Annual Research Report
  • [Journal Article] 周波数分解された分散リスク・プレミアムの予測力2019

    • Author(s)
      大屋幸輔
    • Journal Title

      先物・オプションレポート

      Volume: 31 Pages: 1-5

    • Related Report
      2018 Annual Research Report
  • [Journal Article] 株価指数連動型ETFと市場の流動性2018

    • Author(s)
      太田 亘
    • Journal Title

      証券アナリストジャーナル

      Volume: 56 Pages: 57-61

    • NAID

      40021722623

    • Related Report
      2018 Annual Research Report
  • [Journal Article] Geometric Characterizations of Standard Normal Distribution - Two Types of Differential Equations, Relationships with Square and Circle, and Their Similar Characterizations -2018

    • Author(s)
      Shingo NAKANISHI and Masamitsu OHNISHI
    • Journal Title

      Research Institute for Mathematical Sciences (RIMS)

      Volume: 2078 Pages: 58-64

    • Related Report
      2018 Annual Research Report
  • [Journal Article] Optimal Execution Strategies with Generalized Price Impact Models2018

    • Author(s)
      Seiya KUNO, Masamitsu OHNISHI, and Makoto SHIMOSHIMIZU
    • Journal Title

      Research Institute for Mathematical Sciences (RIMS)

      Volume: 2078 Pages: 77-83

    • Related Report
      2018 Annual Research Report
  • [Journal Article] Intraday seasonality in efficiency, liquidity, volatility and volume: Platinum and gold futures in Tokyo and New York2018

    • Author(s)
      岩壷 健太郎, WATKINS Clinton, 徐涛
    • Journal Title

      Journal of Commodity Markets

      Volume: 11 Pages: 59-71

    • NAID

      120006517716

    • Related Report
      2018 Annual Research Report
    • Peer Reviewed
  • [Journal Article] ボラティリティ・スプレッド2017

    • Author(s)
      大屋幸輔
    • Journal Title

      先物・オプションレポート

      Volume: 29 Pages: 1-5

    • Related Report
      2017 Annual Research Report
  • [Journal Article] ジャスダック市場の取引制度と流動性2017

    • Author(s)
      岩壷健太郎・張葉舟
    • Journal Title

      国民経済雑誌

      Volume: 2 Pages: 1-11

    • Related Report
      2017 Annual Research Report
  • [Journal Article] 日銀の国債買入れと国債の現物および先物市場の流動性・効率性2017

    • Author(s)
      岩壷健太郎・太子智貴
    • Journal Title

      先物・オプションレポート, 東京証券取引所

      Volume: 5 Pages: 1-5

    • Related Report
      2017 Annual Research Report
  • [Presentation] Optimal execution strategies with generalized price impacts in a continuous-time setting2020

    • Author(s)
      Ohnishi, M.
    • Organizer
      The Bachelier Colloquium 2020
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] 一般化された価格インパクト・モデルの下でのペア・トレーディングに関する最適執行戦略2020

    • Author(s)
      大西匡光
    • Organizer
      日本オペレーションズ・リサーチ学会 2020年春季研究発表会
    • Related Report
      2019 Annual Research Report
  • [Presentation] 連続時間モデルに基づく業績条件付ストック・オプションの価値評価2020

    • Author(s)
      大西匡光
    • Organizer
      日本オペレーションズ・リサーチ学会 2020年春季研究発表会
    • Related Report
      2019 Annual Research Report
  • [Presentation] Estimation of smoothly time varying coefficient partial adjustment model2019

    • Author(s)
      Kosuke Oya
    • Organizer
      The 3rd International Conference on Econometrics and Statistics (EcoSta2019)
    • Related Report
      2019 Annual Research Report
  • [Presentation] Estimation of risk aversion for Japanese stock market using implied moments2019

    • Author(s)
      大屋幸輔
    • Organizer
      データサイエンス・福島キャンプ2019
    • Related Report
      2019 Annual Research Report
  • [Presentation] Optimal execution problem with generalized price impact in a discrete-time setting2019

    • Author(s)
      Ohnishi, M.
    • Organizer
      KAFE-JAFEE International Conference
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Optimal execution strategies with generalized price impacts in a continuous-time setting2019

    • Author(s)
      Ohnishi, M.
    • Organizer
      QMF 2019
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Optimal execution problem with generalized price impact in a continuous-time setting2019

    • Author(s)
      Ohnishi, M.
    • Organizer
      第 51回(2019年度夏季)ジャフィー大会
    • Related Report
      2019 Annual Research Report
  • [Presentation] Optimal execution problem with generalized price impact in a continuous-time setting2019

    • Author(s)
      Ohnishi, M.
    • Organizer
      日本オペレーションズ・リサーチ学会 2019年秋季研究発表会
    • Related Report
      2019 Annual Research Report
  • [Presentation] Optimal execution strategies with generalized price impact in a discrete-time setting2019

    • Author(s)
      Ohnishi, M.
    • Organizer
      京都大学数理解析研究所研究集会「不確実・不確定性の下における数理的意思決定の理論と応用」
    • Related Report
      2019 Annual Research Report
  • [Presentation] 金融市場における一般化された市場価格インパクト・モデルのもとでの取引執行ゲーム2019

    • Author(s)
      大西匡光
    • Organizer
      2019年度日本 OR学会関西支部シンポジウム「ゲーム理論から学ぶ:人類への知見」
    • Related Report
      2019 Annual Research Report
  • [Presentation] 金融市場における価格インパクト・モデルを考慮した取引執行問題2019

    • Author(s)
      大西匡光
    • Organizer
      社会システムコロキウム
    • Related Report
      2019 Annual Research Report
  • [Presentation] Optimal execution strategies with generalized price impacts in a continuous-time setting2019

    • Author(s)
      Ohnishi, M.
    • Organizer
      日本ファイナンス学会
    • Related Report
      2019 Annual Research Report
  • [Presentation] Who Is Successful in Foreign Exchange Margin Trading? New Survey Evidence from Japan2019

    • Author(s)
      岩壷 健太郎
    • Organizer
      日本ファイナンス学会
    • Related Report
      2019 Annual Research Report
  • [Presentation] The Changing Role of Foreign Investors in Tokyo Stock Price Formation2019

    • Author(s)
      岩壷 健太郎
    • Organizer
      3rd RESSU Conference
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] 情報トレーダーの銘柄選択2019

    • Author(s)
      太田亘
    • Organizer
      日本ファイナンス学会
    • Related Report
      2019 Annual Research Report
  • [Presentation] Quote Competition in Limit Order Markets2019

    • Author(s)
      太田亘
    • Organizer
      データサイエンス・福島キャンプ2019
    • Related Report
      2019 Annual Research Report
  • [Presentation] Quote Competition in Limit Order Markets2019

    • Author(s)
      Ohta, W.
    • Organizer
      NCU and Chubu JSME Research Workshop on Accounting and Finance
    • Related Report
      2019 Annual Research Report
  • [Presentation] 指数連動型ETFと先物取引2019

    • Author(s)
      太田亘
    • Organizer
      日本ファイナンス学会
    • Related Report
      2019 Annual Research Report
  • [Presentation] 一般化された価格インパクト・モデルのもとでの最適・均衡執行戦略2019

    • Author(s)
      大西匡光・下清水慎
    • Organizer
      東北大学現代経済学研究会
    • Related Report
      2018 Annual Research Report
  • [Presentation] Optimal and Equilibrium Execution Strategies with Generalized Price Impact2019

    • Author(s)
      Masamitsu OHNISHI and Makoto SHIMOSHIMIZU
    • Organizer
      大阪大学数理・データ科学教育研究センター「証券市場の諸問題」ワークショップ
    • Related Report
      2018 Annual Research Report
  • [Presentation] 一次元標準正規分布のBernoulli型と変数係数型二階線形微分方程式および二次元標準正規分布の確率楕円に関する数理と幾何学的考察2019

    • Author(s)
      中西真悟・大西匡光
    • Organizer
      日本オペレーションズ・リサーチ学会, 2019年春季研究発表会
    • Related Report
      2018 Annual Research Report
  • [Presentation] An Empirical Examination of Intraday Volatility on Nikkei 225 Futures: A Bayesian Approach2019

    • Author(s)
      Natsumi OCHIAI and Masamitsu OHNISHI
    • Organizer
      日本オペレーションズ・リサーチ学会, 2019年春季研究発表会
    • Related Report
      2018 Annual Research Report
  • [Presentation] Estimation of risk aversion for Japanese stock market using implied and realized moments2019

    • Author(s)
      大屋幸輔
    • Organizer
      VXJ10周年記念ワークショップ
    • Related Report
      2018 Annual Research Report
  • [Presentation] 株価指数連動型ETFの流動性2019

    • Author(s)
      太田 亘
    • Organizer
      大阪大学数理・データ科学教育研究センター「証券市場の諸問題」ワークショップ
    • Related Report
      2018 Annual Research Report
  • [Presentation] 証券市場における大口投資家と流動性: 日本銀行REIT購入のケース2018

    • Author(s)
      太田 亘
    • Organizer
      日本ファイナンス学会第26回大会
    • Related Report
      2018 Annual Research Report
  • [Presentation] Optimal and Equilibrium Execution Strategies with Generalized Price Impact2018

    • Author(s)
      Masamitsu OHNISHI and Makoto SHIMOSHIMIZU
    • Organizer
      日本ファイナンス学会第26回大会
    • Related Report
      2018 Annual Research Report
  • [Presentation] Optimal Execution Strategies with Generalized Price Impact Models2018

    • Author(s)
      Masamitsu OHNISHI and Makoto SHIMOSHIMIZU
    • Organizer
      EURO2018
    • Related Report
      2018 Annual Research Report
  • [Presentation] Optimal and Equilibrium Execution Strategies with Generalized Price Impact2018

    • Author(s)
      Masamitsu OHNISHI and Makoto SHIMOSHIMIZU
    • Organizer
      JAFEE 2018 夏季大会
    • Related Report
      2018 Annual Research Report
  • [Presentation] 一般化された価格インパクト・モデルのもとでの均衡執行戦略 Ⅱ2018

    • Author(s)
      大西匡光・下清水慎
    • Organizer
      日本オペレーションズ・リサーチ学会, 2018年秋季研究発表会
    • Related Report
      2018 Annual Research Report
  • [Presentation] Equilibrium execution strategies with generalized price impacts2018

    • Author(s)
      Masamitsu OHNISHI and Makoto SHIMOSHIMIZU
    • Organizer
      京都大学数理解析研究所研究集会「ファイナンスの数理解析とその応用」
    • Related Report
      2018 Annual Research Report
  • [Presentation] リスクとリターンが語る標準正規分布,円,正方形の幾何学的関係2018

    • Author(s)
      中西真悟・大西匡光
    • Organizer
      日本オペレーションズ・リサーチ学会,危機管理と防衛のOR研究部会第15回研究会
    • Related Report
      2018 Annual Research Report
  • [Presentation] Optimal and Equilibrium Execution Strategies with Generalized Price Impact2018

    • Author(s)
      Masamitsu OHNISHI and Makoto SHIMOSHIMIZU
    • Organizer
      QMF2018
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Who Influences the Fundamental Value of Commodity Futures in Japan2018

    • Author(s)
      岩壷 健太郎
    • Organizer
      31th Australasian Finance and Banking Conference
    • Related Report
      2018 Annual Research Report
  • [Presentation] Who Influences the Fundamental Value of Commodity Futures in Japan?2018

    • Author(s)
      岩壷 健太郎
    • Organizer
      INFINITI Conference
    • Related Report
      2018 Annual Research Report
  • [Presentation] Term Structure of Credit Spreads under Unconventional Monterey Policies in Japan2018

    • Author(s)
      岩壷 健太郎
    • Organizer
      International Conference on Economic Theory and Policy
    • Related Report
      2018 Annual Research Report
  • [Presentation] 平滑推移するリスクの市場価格をもちいた金利期間構造モデル2018

    • Author(s)
      大屋幸輔
    • Organizer
      第6回金融シンポジウム「金融が直面する新環境への対応と方法論」
    • Related Report
      2018 Annual Research Report
  • [Presentation] インプライド・モーメントがもたらす情報:VIXは何を伝えているのか2018

    • Author(s)
      大屋幸輔
    • Organizer
      日本経済学会2018年度秋季大会
    • Related Report
      2018 Annual Research Report
    • Invited
  • [Presentation] Estimation for affine term structure with smooth transition2018

    • Author(s)
      大屋幸輔
    • Organizer
      松本・経済統計キャンプ:科研プロジェクト「新しい時系列計量分析の理論と応用」
    • Related Report
      2018 Annual Research Report
  • [Presentation] Frequency-wise causality analysis in infinite order vector autoregressive processes2018

    • Author(s)
      大屋幸輔
    • Organizer
      東京大学応用統計ワークショップ
    • Related Report
      2018 Annual Research Report
  • [Presentation] Estimation for affine term structure with smooth transition2018

    • Author(s)
      Shingo Mukunoki and Kosuke Oya
    • Organizer
      The 2nd International Conference on Econometrics and Statistics
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] 一般化された価格インパクト・モデルのもとでの均衡執行戦略2018

    • Author(s)
      大西匡光,下清水慎
    • Organizer
      日本オペレーションズ・リサーチ学会2018年春季研究発表会
    • Related Report
      2017 Annual Research Report
  • [Presentation] Estimation of implied risk-aversion for Nikkei 225 on Tokyo stock exchange with variance spread2018

    • Author(s)
      Kosuke Oya
    • Organizer
      Workshop on Financial/Economic Analytics
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] 証券市場における大口投資家と流動性: 日本銀行REIT購入のケース2018

    • Author(s)
      太田亘
    • Organizer
      大阪大学MMDSワークショップ証券市場の諸問題
    • Related Report
      2017 Annual Research Report
  • [Presentation] Term structure of credit spreads under unconventional monetary policies in Japan2018

    • Author(s)
      岩壷健太郎
    • Organizer
      大阪大学MMDSワークショップ証券市場の諸問題
    • Related Report
      2017 Annual Research Report
  • [Presentation] Order Flows, Fundamentals and Exchange Rates2018

    • Author(s)
      Iwatsubo, Kentaro
    • Organizer
      2018 2nd International Symposium on Money and Finance
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] 価格インパクトを考慮した最適執行戦略2017

    • Author(s)
      久納誠矢,大西匡光,下清水慎
    • Organizer
      日本オペレーションズ・リサーチ学会2017年秋季研究発表会
    • Related Report
      2017 Annual Research Report
  • [Presentation] 市場価格インパクトを考慮した最適執行問題2017

    • Author(s)
      久納誠矢,大西匡光,下清水慎
    • Organizer
      "日本オペレーションズ・リサーチ学会4部会合同研究会確率モデルの新展開
    • Related Report
      2017 Annual Research Report
  • [Presentation] Frequency wise decomposition of variance risk premium2017

    • Author(s)
      Kosule Oya
    • Organizer
      The 1st International Conference on Econometrics and Statistics
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Quantitative Easing and Liquidity in the Japanese Sovereign Bond Market2017

    • Author(s)
      Iwatsubo, Kentaro
    • Organizer
      World Finance Conference
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Market Maker System versus Continuous Auction System: Evidence from JASDAQ Market2017

    • Author(s)
      岩壷健太郎
    • Organizer
      日本ファイナンス学会
    • Related Report
      2017 Annual Research Report
  • [Book] Characterizing Interdependencies of Multiple Time Series: Theory and Applications2017

    • Author(s)
      Yuzo Hosoya, Kosuke Oya, Taro Takimoto, Ryo Kinoshita
    • Total Pages
      133
    • Publisher
      Springer
    • ISBN
      9789811064357
    • Related Report
      2017 Annual Research Report

URL: 

Published: 2017-04-28   Modified: 2021-02-19  

Information User Guide FAQ News Terms of Use Attribution of KAKENHI

Powered by NII kakenhi