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

Mitsuru Katagiri; Junnosuke Shino; Koji Takahashi

doi:10.1016/j.frl.2022.103230

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

国際教養学部

研究成果: Article › 査読

1 被引用数 (Scopus)

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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
巻	50
DOI	https://doi.org/10.1016/j.frl.2022.103230
出版ステータス	Published - 2022 12月

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10.1016/j.frl.2022.103230

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

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.",

keywords = "Announcement effects, Bank of Japan, ETF purchase program, Event study, Intraday stock returns",

author = "Mitsuru Katagiri and Junnosuke Shino and Koji Takahashi",

note = "Funding Information: This work was supported by the Japan Society for the Promotion of Science [KAKENHI, Grant No. 19K01743 ] and the Japan Securities Scholarship Foundation . Publisher Copyright: {\textcopyright} 2022 The Authors",

year = "2022",

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doi = "10.1016/j.frl.2022.103230",

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T2 - An event study

AU - Katagiri, Mitsuru

AU - Shino, Junnosuke

AU - Takahashi, Koji

N1 - Funding Information: This work was supported by the Japan Society for the Promotion of Science [KAKENHI, Grant No. 19K01743 ] and the Japan Securities Scholarship Foundation . Publisher Copyright: © 2022 The Authors

PY - 2022/12

Y1 - 2022/12

N2 - 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.

AB - 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.

KW - Announcement effects

KW - Bank of Japan

KW - ETF purchase program

KW - Event study

KW - Intraday stock returns

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JO - Finance Research Letters

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

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