Three Essays in Finance

Liu, Zechu

Three Essays in Finance

Liu, Zechu

Permalink

Publication Type:: Thesis
Issue Date:: 2025

Open Access

Copyright Clearance Process

Recently Added
In Progress
Open Access

This item is open access.

Adobe PDF

Download thesisAdobe PDF (1.67 MB)

View statistics

Full metadata record

Field	Value	Language
dc.contributor.author	Liu, Zechu
dc.date.accessioned	2026-07-30T05:41:21Z
dc.date.available	2026-07-30T05:41:21Z
dc.date.issued	2025
dc.identifier.uri	http://hdl.handle.net/10453/195847
dc.description	University of Technology Sydney. Faculty of Business.	en_US.UTF-8
dc.description.abstract	This dissertation comprises three essays that examine the consequences of financial frictions within the domains of macro-finance, asset pricing, and financial regulation. The first and second essays provide empirical analyses of the Bank of Japan’s equity ETF purchase program, focusing on its operating mechanisms, impact on market volatility, and the extent to which it achieves its policy objectives. The third essay investigates how the incidence of consumer fraud is influenced by local cultural norms, and explores the underlying mechanisms driving this relationship. The first essay examines the Bank of Japan’s unprecedented program of equity exchange-traded fund (ETF) purchases – one of the largest equity market interventions by any central bank. This unconventional policy was intended to calm the stock market and bolster investor confidence. The BOJ’s sustained presence as a top shareholder in its domestic equity market offers a unique opportunity to evaluate the long-run consequences of such direct market support. A causal evaluation reveals that while these large-scale interventions provide short-term support, they inadvertently amplify market volatility over time. This paradox illustrates how a well-intentioned policy tool designed to reduce risk can unexpectedly increase market fragility, challenging traditional notions of central bank neutrality and market efficiency. Expanding on the theme of policy-driven influences, the second essay investigates the predictability and market impact of the BOJ’s interventions. It shows that the central bank’s equity purchases follow a transparent, data-driven pattern – often triggered by morning market losses – which makes these operations highly anticipated by investors. By developing a long-short trading strategy that exploits this predictability, the study demonstrates that traders can earn abnormal returns around intervention days, thereby influencing price dynamics. Further analysis reveals that the impact of these interventions is not uniform across firms: the effects are stronger for firms with larger market capitalization and lower liquidity, suggesting that the BOJ's policy provides disproportionate support to large and high-risk firms. Shifting from institutional actions to societal factors, the third essay explores the role of social trust in shaping community-level vulnerability to consumer financial fraud across U.S. regions. Contrary to the notion that trust increases exposure to opportunistic behavior, the study finds that communities with higher levels of social trust experience lower incidences of fraud. This relationship appears to be mediated by the quality of local communication networks: high-trust communities tend to foster more effective information sharing and collective awareness, which enhances their resilience to fraudulent schemes.	en_US.UTF-8
dc.format	Thesis (PhD)
dc.language.iso	en_US	en_US.UTF-8
dc.relation	https://opus.lib.uts.edu.au/bitstream/10453/195847/1/thesis.pdf
dc.rights	info:eu-repo/semantics/openAccess
dc.rights	The author owns the copyright in this thesis including all reproduction and reuse rights for the work. The work may not be altered without the permission of the copyright owner. Attribution is essential when quoting or paraphrasing from this thesis.
dc.rights	© 2025 Zechu Liu
dc.rights	au.edu.uts.lib/cph
dc.title	Three Essays in Finance	en_US.UTF-8
dc.type	Thesis
utslib.copyright.status	open_access	*

Abstract:

This dissertation comprises three essays that examine the consequences of financial frictions within the domains of macro-finance, asset pricing, and financial regulation. The first and second essays provide empirical analyses of the Bank of Japan’s equity ETF purchase program, focusing on its operating mechanisms, impact on market volatility, and the extent to which it achieves its policy objectives. The third essay investigates how the incidence of consumer fraud is influenced by local cultural norms, and explores the underlying mechanisms driving this relationship. The first essay examines the Bank of Japan’s unprecedented program of equity exchange-traded fund (ETF) purchases – one of the largest equity market interventions by any central bank. This unconventional policy was intended to calm the stock market and bolster investor confidence. The BOJ’s sustained presence as a top shareholder in its domestic equity market offers a unique opportunity to evaluate the long-run consequences of such direct market support. A causal evaluation reveals that while these large-scale interventions provide short-term support, they inadvertently amplify market volatility over time. This paradox illustrates how a well-intentioned policy tool designed to reduce risk can unexpectedly increase market fragility, challenging traditional notions of central bank neutrality and market efficiency. Expanding on the theme of policy-driven influences, the second essay investigates the predictability and market impact of the BOJ’s interventions. It shows that the central bank’s equity purchases follow a transparent, data-driven pattern – often triggered by morning market losses – which makes these operations highly anticipated by investors. By developing a long-short trading strategy that exploits this predictability, the study demonstrates that traders can earn abnormal returns around intervention days, thereby influencing price dynamics. Further analysis reveals that the impact of these interventions is not uniform across firms: the effects are stronger for firms with larger market capitalization and lower liquidity, suggesting that the BOJ's policy provides disproportionate support to large and high-risk firms. Shifting from institutional actions to societal factors, the third essay explores the role of social trust in shaping community-level vulnerability to consumer financial fraud across U.S. regions. Contrary to the notion that trust increases exposure to opportunistic behavior, the study finds that communities with higher levels of social trust experience lower incidences of fraud. This relationship appears to be mediated by the quality of local communication networks: high-trust communities tend to foster more effective information sharing and collective awareness, which enhances their resilience to fraudulent schemes.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/195847