The Bank of Japan's equity purchases and stock illiquidity
利用日本央行大规模购买指数挂钩ETF的数据，研究发现央行持股增加会显著提高股票的非流动性，且该效应通过ETF套利活动部分传导，对小公司、年轻公司及面临强买入压力的股票影响更大。
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 buying pressure. Finally, BOJ ownership increases comovement in liquidity and reduces informational efficiency.