TY - JOUR
T1 - The BOJ's ETF purchases and its effects on Nikkei 225 stocks
AU - Harada, Kimie
AU - Okimoto, Tatsuyoshi
N1 - Publisher Copyright:
© 2021 Elsevier Inc.
PY - 2021/10
Y1 - 2021/10
N2 - 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.
AB - 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.
KW - Difference in difference
KW - Exchange traded funds
KW - Stock market intervention
KW - Unconventional monetary policy
UR - http://www.scopus.com/inward/record.url?scp=85109833516&partnerID=8YFLogxK
U2 - 10.1016/j.irfa.2021.101826
DO - 10.1016/j.irfa.2021.101826
M3 - Article
SN - 1057-5219
VL - 77
JO - International Review of Financial Analysis
JF - International Review of Financial Analysis
M1 - 101826
ER -