Anmerkungen:
In: Journal of Financial Markets
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 17, 2022 erstellt
Beschreibung:
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 buy pressure. Finally, BOJ ownership increases comovement in liquidity and reduces informational efficiency