The Announcement Effects of a Change in the Bank of Japan's ETF Purchase Program : An Event Study

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 and that this effect is particularly evident for stocks the BOJ stopped purchasing

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Year of publication:	[2022]
Authors:	Katagiri, Mitsuru ; Shino, Junnosuke ; Takahashi, Koji
Publisher:	[S.l.] : SSRN
Subject:	Ankündigungseffekt \| Announcement effect \| Japan \| Geldpolitik \| Monetary policy \| Börsenkurs \| Share price \| Ereignisstudie \| Event study \| Zentralbank \| Central bank \| Indexderivat \| Index derivative

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Extent:	1 Online-Ressource (10 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 5, 2022 erstellt
Other identifiers:	10.2139/ssrn.4075747 [DOI]
Classification:	E58 - Central Banks and Their Policies ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013291746