The Bank of Japan’s exchange traded fund purchases: a help or hindrance to market efficiency?

Ailie Charteris () and Conrad Alexander Steyn
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Ailie Charteris: University of Cape Town
Conrad Alexander Steyn: University of Cape Town

Journal of Asset Management, 2023, vol. 24, issue 3, No 6, 225-240

Abstract: Abstract We examine the impact of the Bank of Japan’s exchange traded fund (ETF) purchases on two aspects of market efficiency—long-range dependence and price delay—of the TOPIX and Nikkei 225 indices. An increase in ETF purchases results in lower long-range dependence for both indices while the impact on the price delay varies according to index and measure. A sub-period analysis shows that the impact on market efficiency varies over time, with the dominant pattern being a delayed harmful effect, followed by a positive impact and thereafter a negative effect. The implications of these findings are discussed.

Keywords: Exchange traded funds; Market efficiency; Long-range dependence; Price delay; Monetary policy; Asset purchase programmes (search for similar items in EconPapers)
JEL-codes: E52 E58 G10 G14 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1057/s41260-023-00307-2

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