不知情的交易者会改变价格吗？来自日本银行ETF购买计划的证据

IF 2.6 Q2 BUSINESS, FINANCE FINANCIAL REVIEW Pub Date : 2022-09-24 DOI:10.1111/fire.12323

Luke Bouffler, Amy Kwan, Lantian Liang, Richard Philip

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引用次数: 1

摘要

使用日本央行的ETF购买计划作为股票需求的外生冲击，我们发现，日本央行需求较高的股票在日本央行ETF购买日会获得更高的正异常回报，从长远来看，这种回报仅部分恢复。我们的研究结果支持了这样一种假设，即股票的需求曲线向下倾斜，这意味着不知情的交易员可能会导致价格的永久性变化。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Do uninformed traders move prices? Evidence from the Bank of Japan's ETF purchasing program

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.

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