For posterity, I think this is quicker:
a = np.array([np.array(list()) for _ in y])
You might even be able to pass in a generator (i.e. [] -> ()), in which case the inner list is never fully stored in memory.
Responding to comment below:
>>> import numpy as np
>>> y = range(10)
>>> a = np.array([np.array(list) for _ in y])
>>> a
array([array(<type 'list'>, dtype=object),
array(<type 'list'>, dtype=object),
array(<type 'list'>, dtype=object),
array(<type 'list'>, dtype=object),
array(<type 'list'>, dtype=object),
array(<type 'list'>, dtype=object),
array(<type 'list'>, dtype=object),
array(<type 'list'>, dtype=object),
array(<type 'list'>, dtype=object),
array(<type 'list'>, dtype=object)], dtype=object)