Firms listed on JASDAQ can select either the order-driven (hereafter OD) system, where formal market makers are not involved, or the market-maker (hereafter MM) system for the trading of stocks. How differences in trading systems affect pricing and liquidity is a key issue in the study of market...

The BOJ recently announced its intention to purchase asset backed securities (ABS) whose underlying assets are closely related to SME economic activities. One important motivation for this policy arises from the idea that utilizing modern financial tools, i.e., securitization, can be a possible...

The mechanism of financial transactions provided to society today cannot be determined by a single financial institution, but is determined through a complex structure of mutual cooperation, or a "network", between several financial institutions. Quantitative analysis of such a "network"...

When a firm switches its listing venue, there is often a significant increase in the number of shareholders and the trading activities. According to Merton [1987], an increased shareholder base improves diversification of risk, which has a positive impact on the stock price. Amihud and Mendelson...

Enhancing market liquidity and efficiency in government bond markets is a central issue which needs to be addressed so as to ensure that the yield curve, which acts as the benchmark for yen interest rate instruments, is smoothly determined and reflects prevailing market prices. An efficient...

Liquidity in the Japanese government bond (JGB) market has improved significantly as a result of a series of market reforms implemented since 2000. Market liquidity is a measure of "the level of ease with which trading can be conducted in the market." In order to facilitate trading in the JGB...

The Foreign Exchange Operations Section of the Financial Markets Department of the Bank of Japan monitors the foreign exchange market and other global financial markets. In recent years, the relatively sharp price movements observed on global financial markets have generally been accompanied by...

With the lowering volatilities in the foreign exchange and stock markets in recent years and historically low interest rates, investments in hedge funds and investment trusts (Japanese mutual funds) by Japanese investors have been increasing. For both hedge funds and investment trusts, investors...

The Financial Markets Department conducted its second census of stress tests to collect and analyse stress scenarios adopted by market participants. In a sense, the exercise was conceived as a market-wide "fire drill" assuming situations where serious shocks occur in financial markets. Through...