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

Luke Bouffler, Amy Kwan, Lantian Liang and Richard Philip

The Financial Review, 2023, vol. 58, issue 1, 5-18

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.

Date: 2023
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