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To Lend or Not to Lend: The Bank of Japan’s ETF Purchase Program and Securities Lending

Author

Listed:
  • Mitsuru Katagiri

    (Department of Business Administration, Hosei University)

  • Junnosuke Shino

    (School of International Liberal Studies, Waseda University)

  • Koji Takahashi

    (Monetary and Economic Department, Bank for International Settlements)

Abstract

This study investigates the effects of the Bank of Japan’s (BOJ) exchange-traded fund (ETF) purchase program on stock returns, particularly focusing on the role of the stock lending market. Using firm-level panel data, we find that the BOJ’s purchases raised stock returns more for those stocks with limited availability in the stock lending market. Nonetheless, over the longer term, the BOJ’s accumulated purchases lowered lending fees and weakened the effects of their purchases on stock returns. This result suggests that ETF managers supply stocks that constitute ETFs held by the BOJ to the stock lending market, which weakens the policy effects of the program.

Suggested Citation

  • Mitsuru Katagiri & Junnosuke Shino & Koji Takahashi, 2023. "To Lend or Not to Lend: The Bank of Japan’s ETF Purchase Program and Securities Lending," Working Papers 2304, Waseda University, Faculty of Political Science and Economics.
    • Handle: RePEc:wap:wpaper:2304
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Large-scale asset purchase (LSAP); ETF purchase program; stock lending market; Bank of Japan;
    All these keywords.

    JEL classification:

    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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