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

Mitsuru Katagiri, Junnosuke Shino and Koji Takahashi

Finance Research Letters, 2022, vol. 50, issue C

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: ETF purchase program; Bank of Japan; Event study; Announcement effects; Intraday stock returns (search for similar items in EconPapers)
JEL-codes: E58 G12 G14 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004329

DOI: 10.1016/j.frl.2022.103230

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