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

Mitsuru Katagiri, Junnosuke Shino*, Koji Takahashi

*この研究の対応する著者

研究成果: Article査読

1 被引用数 (Scopus)

抄録

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.

本文言語English
論文番号103230
ジャーナルFinance Research Letters
50
DOI
出版ステータスPublished - 2022 12月

ASJC Scopus subject areas

  • 財務

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