Waseda Organizational and Financial Economics Seminar:
“Stock Lending Market and the BOJ’s ETF Purchasing Program: Micro-data Analysis” (June 3)
講演者 / Speaker
SHINO, Junnosuke （Assistant Professor, Waseda University）
- Field of Research Interests
Applied microeconomics, financial economics, game theory
日 時 / Date & Time
Monday, 3 June 2019, 13:00 – 14:30
会 場 / Venue
Rm. #1111 on the 11th floor, Building #11, Waseda University
主 旨 / Outline
“Stock Lending Market and the BOJ’s ETF Purchasing Program: Micro-data Analysis”
This analysis examines the effects of the Bank of Japan’s ETF purchasing program on stock lending market. The ETF program has, in contrast to other asset purchasing programs, a unique characteristic: stocks that constitute ETFs held by the BOJ can be lent freely by ETF managers. We focus on two different micro-datasets of stock lending: ETF balance sheet data released by asset management companies and equity repo trading data, and it is shown that stock lending trades have been continuously expanded and the sensitivities of the trades to market liquidity and valuations have been increased by the BOJ’s purchasing program.
プログラム / Schedule
13:00～13:05 Opening Remarks （MIYAJIMA, Hideaki (Advisor, WIAS / Professor, Waseda University)）
13:05～14:05 Presentation
14:05～14:25 Question-and-answer session
14:25～14:30 Concluding Remarks（MIYAJIMA, Hideaki ）
対 象 / Prospected Audience
Faculty and staff members of a university, grad students, undergraduates, the general public
主 催 / Organizer
Research Institute of Business Administration, Waseda University
Waseda Institute for Advanced Study, Waseda University
申込み / Registration
Free of charge. Please come to the event venue directly.
