The announcement effects of a change in the Bank of Japan's ETF purchase program: An event study

Mitsuru Katagiri, Junnosuke Shino*, Koji Takahashi

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract

This study investigates the announcement effects of the Bank of Japan's (BOJ) ETF purchase program on equity prices, focusing on the policy change made on March 19, 2021 when the BOJ announced that it would no longer purchase Nikkei225-tracking and JPX400-tracking ETFs but would purchase more TOPIX-tracking ETFs. A regression of intraday stock returns revealed that the announcement of a future decrease (increase) in the amount of BOJ purchases has the instantaneous effect of decreasing (increasing) stock prices.

Original languageEnglish
Article number103230
JournalFinance Research Letters
Volume50
DOIs
Publication statusPublished - 2022 Dec

Keywords

  • Announcement effects
  • Bank of Japan
  • ETF purchase program
  • Event study
  • Intraday stock returns

ASJC Scopus subject areas

  • Finance

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