大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,Osaka University

Bank of Japan's ETF purchase program, share lending market and stock returns

篠 潤之介（早稲田大学）

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4. Bank of Japan's ETF purchase program, share lending market and stock returns

大阪大学 数理・データ科学セミナー 金融・保険セミナーシリーズ 第133回

Bank of Japan's ETF purchase program, share lending market and stock returns

篠 潤之介（早稲田大学）

We investigate effects of the Bank of Japan's exchange traded fund (ETF) purchase program on stock markets by focusing on the unique characteristics of the program; individual stocks that constitute ETFs purchased by the Bank of Japan can be lent out by ETF managers. Using micro data for the stock lending market, we find that an increase in the ETF purchasing by the Bank of Japan has a positive effect on abnormal stock returns. However, for “special” stocks with a tight demand-supply balance in the lending market, the increase in stock prices is suppressed. In addition, a lending fee for such special stocks decreases in response to the purchase by the BOJ because the purchased ETF can be a source of the supply in the lending market. These results indicate that the ETF purchasing program by the BOJ has been mitigated by the stock lending provision channel.