The BOJ's ETF purchases and its effects on Nikkei 225 stocks

Kimie Harada, Tatsuyoshi Okimoto

研究成果: Article査読

6 被引用数 (Scopus)

抄録

This paper examines the impacts of the Bank of Japan's (BOJ) exchange-traded funds (ETFs) purchasing program that has been conducted since December 2010. The program is a part of the BOJ's unconventional monetary policy and has accelerated since the introduction of the Quantitative and Qualitative Easing in April 2013. In this study, the influence of underlying stocks is assessed by comparing the performance of the stocks (those included in the Nikkei 225 and others) using a difference-in-difference analysis. We also separate morning and afternoon returns to control for the fact that the BOJ tends to purchase ETFs when performance of the stock market is weak in the morning session. We find that the Nikkei 225 component stocks' afternoon returns are significantly higher than those of non-Nikkei 225 stocks when the BOJ purchases ETFs. In addition, the subsample analysis demonstrates that the impact on Nikkei 225 stock returns becomes smaller over time despite the growing purchase amounts. Overall, our results indicate that the cumulative treatment effects on the Nikkei 225 are around 20% as of October 2017.

本文言語English
論文番号101826
ジャーナルInternational Review of Financial Analysis
77
DOI
出版ステータスPublished - 2021 10月
外部発表はい

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学

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