عملکرد بازار سهام بانک مرکزی بلژیک و ژاپن

Most central banks issue stock that is held by the government and/or commercial banks and is not tradable. In contrast, stocks of the central banks of Belgium and Japan are traded on the Brussels and Tokyo stock exchanges. The purpose of the paper is to examine this unique phenomenon of stock market valuation of central banks. Our analysis shows that shares of these two central banks have performed poorly. We also investigate the factors affecting central bank stock returns and find that the stock market return is the only statistically significant determinant. Neither the assets held by the central bank nor the country’s macroeconomic factors show strong and stable relationships with central bank stock returns. An event study using recent data from Japan shows that the effect of certain macroeconomic events on the value of the Bank of Japan stock is statistically insignificant.

Most central banks issue stock that is held by the government and/or commercial banks and is not tradable. In contrast, the stock of the central banks of Belgium (the National Bank of Belgium, hereafter called NBB) and of Japan (the Bank of Japan, hereafter called BOJ) are traded on the Brussels and Tokyo stock exchanges, respectively. The Belgian government holds half of the Belgian central bank’s stock while private and institutional investors hold the other half. Since the BOJ was modeled on the NBB, the Japanese government holds more than half of the Bank of Japan stock and the rest is also distributed among individuals, financial and other institutions. Even though investors have been buying the central bank shares for decades, they have no influence on the policies of either central bank. The non-governmental shareholders have almost no rights that typically exist in all other public limited corporations. Why do investors regularly buy or sell central bank stocks? Do they receive adequate returns? Why is some of the stock of central banks traded in the open market? What affects the value of this stock and how is this related to the rationale for the public trading of a central bank’s stock? These are some questions that we attempt to address in this paper in order to obtain a better understanding of central banks. The remainder of the paper is organized as follows. The next section briefly discusses the history and the organization of the central banks of Belgium and Japan. The third section presents the hypotheses and the fourth section describes the data. The fifth section presents empirical evidence on the performance of central bank stocks. Section six investigates the factors affecting the changes in value of central bank stocks. The section also reports the results from an event study examining the stock market reaction of Japanese central bank shares to macroeconomic announcements. Conclusions are drawn in the final section.

The common stock of the central banks of Belgium and Japan are publicly traded, unlike most other central banks. This is an interesting case by itself; it opens the possibility that the capital market can monitor a government agency. We trace historical stock market performance of the central banks of Belgium and Japan. We find that the stock return of the Belgian central bank has been under-performing over the past few decades. We also find similar underperformance for the Japanese central bank during the last few years. Overall, our results indicate that shareholders of the central bank could have earned higher returns had they invested their capital in the stock market index. Underperformance of central bank stock exists on a risk-adjusted basis too. Efforts to explain central bank stock performance have met with limited success. But, this is not unusual. It is very difficult, if not impossible, to find statistically significant determinants of stock returns of a single firm. We use a long time-period with annual data and a relatively short time-period with monthly data to investigate the determinants of the stock return of the central banks of Belgium and Japan. Our results show that the only factor that significantly explains changes in central bank stock returns is the market return. Some macroeconomic variables like the unemployment rate, the dollar exchange rate, and the growth in industrial production show some significant relationship, but only in a univariate context. In the multivariate analysis, neither the assets of the central bank nor the macroeconomic factors are significant determinants of central bank stock returns. Overall, our results for both central banks are quite similar. An event study of some Japanese macroeconomic announcements also indicates that there is no statistically significant change in the value of the central bank stock. This work could perhaps be extended to other countries with a central bank or any other (semi)governmental institution that is publicly traded in order to determine why these countries have chosen this organizational arrangement. This paper indicates that it is possible to have a central bank that is owned by the public.