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

Author

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  • Luke Bouffler
  • Amy Kwan
  • Lantian Liang
  • Richard Philip
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.

Suggested Citation

  • Luke Bouffler & Amy Kwan & Lantian Liang & Richard Philip, 2023. "Do uninformed traders move prices? Evidence from the Bank of Japan's ETF purchasing program," The Financial Review, Eastern Finance Association, vol. 58(1), pages 5-18, February.
    • Handle: RePEc:bla:finrev:v:58:y:2023:i:1:p:5-18
    DOI: 10.1111/fire.12323
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    References listed on IDEAS

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