Do uninformed traders move prices? Evidence from the Bank of Japan's ETF purchasing program. Issue 1 (24th September 2022)
- Record Type:
- Journal Article
- Title:
- Do uninformed traders move prices? Evidence from the Bank of Japan's ETF purchasing program. Issue 1 (24th September 2022)
- Main Title:
- Do uninformed traders move prices? Evidence from the Bank of Japan's ETF purchasing program
- Authors:
- Bouffler, Luke
Kwan, Amy
Liang, Lantian
Philip, Richard - Abstract:
- Abstract: Using the Bank of Japan (BoJ) ETF purchasing program as an exogenous shock to stock demand, we find that stocks with a higher BoJ demand experience higher positive abnormal returns on BoJ ETF purchase dates, which only partially revert in the long term. Our findings support the hypothesis that stocks have a downward‐sloping demand curve, implying that uninformed traders can cause a permanent shift in price.
- Is Part Of:
- Financial review. Volume 58:Issue 1(2023)
- Journal:
- Financial review
- Issue:
- Volume 58:Issue 1(2023)
- Issue Display:
- Volume 58, Issue 1 (2023)
- Year:
- 2023
- Volume:
- 58
- Issue:
- 1
- Issue Sort Value:
- 2023-0058-0001-0000
- Page Start:
- 5
- Page End:
- 18
- Publication Date:
- 2022-09-24
- Subjects:
- demand curve slope -- price impact -- uninformed trades
Finance -- United States -- Periodicals
Finance -- Periodicals
332 - Journal URLs:
- http://www.blackwellpublishing.com/journal.asp?ref=0732-8516 ↗
http://onlinelibrary.wiley.com/ ↗ - DOI:
- 10.1111/fire.12323 ↗
- Languages:
- English
- ISSNs:
- 0732-8516
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 3926.979800
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 25666.xml