NDLI: Bank of Japan and the ETF market

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Bank of Japan and the ETF market

Content Provider	Scilit
Author	Susai, Masayuki Wong, Ho Yan Karen
Copyright Year	2020
Description	The Bank of Japan (BOJ) has used exchange-traded funds (ETFs) as monetary policy instruments since 2010. Over the years, the ETF purchasing programme has been expanded progressively. Currently, the annual purchase by the BOJ stands at JPY 6 trillion. 73.7% of the total purchase is used for ETFs that track the TOPIX, while 26.3% for ETFs that track the Nikkei 225 Stock Average or the JPX-Nikkei Index 400. As of February 2017, the BOJ owned 67% of ETFs in the Japanese market. Thus, the BOJ plays an important role in TOPIX trading, and is a top-10 shareholder in 40% of listed companies in Japan. In this chapter, we review the BOJ's monetary easing implementation through ETF purchases, to explore how these interventions impact stock markets. Our empirical study covers Japanese ETFs, stock market indices and futures contracts. We document that the BOJ interventions have a significantly positive influence on stock market indices – and that volume plays an important role. We also find that the BOJ has managed to reduce stock market volatility as a result of the regular ETF purchases. This is particularly evident since August 2016. What is more, not only the volatility but also the persistence of the volatility has been reduced through intervention. Book Name: Unconventional Monetary Policy and Financial Stability
Related Links	https://api.taylorfrancis.com/content/chapters/edit/download?identifierName=doi&identifierValue=10.4324/9780429032479-9&type=chapterpdf
Ending Page	163
Page Count	25
Starting Page	139
DOI	10.4324/9780429032479-9
Language	English
Publisher	Informa UK Limited
Publisher Date	2020-06-30
Access Restriction	Open
Subject Keyword	Book Name: Unconventional Monetary Policy and Financial Stability Operations Research and Management Science Market Etf Purchases Volatility Nikkei
Content Type	Text
Resource Type	Chapter

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