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

被引：3

作者：

Katagiri, Mitsuru ^{[1
]}

Shino, Junnosuke ^{[2
]}

Takahashi, Koji ^{[3
]}

机构：

[1] Hosei Univ, Dept Business Adm, Tokyo, Japan

[2] Waseda Univ, Sch Int Liberal Studies, 1-6-1 Nishiwaseda,Shinju Ku, Tokyo 1698050, Japan

[3] Bank Int Settlements, Monetary & Econ Dept, Basel, Switzerland

来源：

FINANCE RESEARCH LETTERS | 2022年 / 50卷

基金：

日本学术振兴会;

关键词：

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

D O I：

10.1016/j.frl.2022.103230

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页数：7

共 8 条

[1] Quantitative Easing and Equity Prices: Evidence from the ETF Program of the Bank of Japan [J].