899
Views
0
CrossRef citations to date
0
Altmetric
FINANCIAL ECONOMICS

The Bank of Japan’s equity exchange-traded funds purchasing operation and its impact on equity returns

Article: 2111782 | Received 01 Jun 2020, Accepted 06 Aug 2022, Published online: 18 Aug 2022

References

  • Barbon, A., & Gianinazzi, V. (2019). Quantitative easing and equity prices: Evidence from the ETF Program of the Bank of japan. The Review of Asset Pricing Studies, 9(2), 210–20. https://doi.org/10.1093/rapstu/raz008
  • Bauer, M. D., & Rudebusch, G. D. (2014). The signaling channel for federal reserve bond purchases. International Journal of Central Banking, (September), 233–289.
  • Bernanke, B., Reinhart, V., & Sack, B. (2004). Monetary policy alternatives at the zero bound: An empirical assessment. Brookings Papers on Economic Activity, 2(2), 1–100. https://doi.org/10.1353/eca.2005.0002
  • Borio, C., & Zabai, A. (2018). Unconventional monetary policies: A re-appraisal. Research Handbook on Central Banking, 398–444. https://doi.org/10.4337/9781784719227.00026
  • Bowman, D., Cai, F., Davies, S., & Kamin, S. (2015). Quantitative easing and bank lending: Evidence from Japan. Journal of International Money and Finance, 571, 15–30. https://doi.org/10.1016/j.jimonfin.2015.05.002
  • Christensen, J. H. E., & Rudebusch, G. D. (2012). The response of interest rates to US and UK quantitative easing. The Economic Journal, 122(564), 385–414. https://doi.org/10.1111/j.1468-0297.2012.02554.x
  • D’Amico, S., & King, T. B. (2013). Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply. Journal of Financial Economics, 108(2), 425–448. https://doi.org/10.1016/j.jfineco.2012.11.007
  • Dominguez, K. M. (1998). Central bank intervention and exchange rate volatility. Journal of International Money and Finance, 17(1), 161–190. https://doi.org/10.1016/S0261-5606(97)98055-4
  • Duffie, D. (2010). Presidential address: Asset price dynamics with slow-moving capital. The Journal of Finance, 65(4), 1237–1267. https://doi.org/10.1111/j.1540-6261.2010.01569.x
  • Edelen, R. M., & Warner, J. B. (2001). Aggregate price effects of institutional trading: A study of mutual fund flow and market returns. Journal of Financial Economics, 59(2), 195–220. https://doi.org/10.1016/S0304-405X(00)00085-4
  • Eser, F., & Schwaab, B. (2016). Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB’s Securities Markets Programme. Journal of Financial Economics, 119(1), 147–167. https://doi.org/10.1016/j.jfineco.2015.06.003
  • Fatum, R., & Yamamoto, Y. (2016). Intra-safe-haven currency behavior during the global financial crisis. Journal of International Money and Finance, 66(September), 49–64. https://doi.org/10.1016/j.jimonfin.2015.12.007
  • Fischer, S. (2016, January 3). Monetary policy, financial stability, and the zero lower bound. A speech at the Annual Meeting of the American Economic Association, San Francisco, California.
  • Fukunaga, I., Kato, N., & Koeda, J. (2015). Maturity structure and supply factors in Japanese government bond markets. Monetary and Economic Studies, 33(November), 45–95.
  • Gagnon, J., Raskin, M., Remache, J., & Sack, B. (2011). The financial market effects of the Federal Reserve’s large-scale asset purchases. International Journal of Central Banking, 7(March), 3–43.
  • Gromb, D., & Vayanos, D. (2010). Limits of arbitrage. Annual Review of Financial Economics, 2(1), 251–275. https://doi.org/10.1146/annurev-financial-073009-104107
  • Hamilton, J. D., & Wu, J.C. (2012). The effectiveness of alternative monetary policy tools in a zero lower bound environment. Journal of Money, Credit and Banking, 44(s1), 3–46. https://doi.org/10.1111/j.1538-4616.2011.00477.x
  • Hancock, D., & Passmore, W. (2011). Did the federal reserve’s MBS purchase program lower mortgage rates. Journal of Monetary Economics, 58(5), 498–514. https://doi.org/10.1016/j.jmoneco.2011.05.002
  • Harada, K., & Okimoto, T. (2019). The BOJ’s ETF purchases and its effects on Nikkei 225 stocks. International Review of Financial Analysis, 77(October), 101826. https://doi.org/10.1016/j.irfa.2021.101826
  • Joyce, M., Lasaosa, A., Stevens, I., & Tong, M. (2011). The financial market impact of quantitative easing in the United Kingdom. International Journal of Central Banking, 7(September), 113–161.
  • Kim, S.-J., & Sheen, J. (2002). The determinants of foreign exchange intervention by central banks: Evidence from Australia. Journal of International Money and Finance, 21(5), 619–649. https://doi.org/10.1016/S0261-5606(02)00011-6
  • Kimura, T., & Small, D. H. (2006). Quantitative monetary easing and risk in financial asset markets. Topics in Macroeconomics, 6(1), 1–54. https://doi.org/10.2202/1534-5998.1274
  • Krishnamurthy, A., & Vissing-Jorgensen, A. (2011). The effects of quantitative easing on long-term interest rates. Brookings Papers on Economic Activity, 2(2), 215–265. https://doi.org/10.1353/eca.2011.0019
  • Krishnamurthy, A., & Vissing-Jorgensen, A. (2012). The aggregate demand for treasury debt. Journal of Political Economy, 120(2), 233–267. https://doi.org/10.1086/666526
  • Kuttner, K. N. (2001). Monetary policy surprises and interest rates: Evidence from the fed funds futures market. Journal of Monetary Economics, 47(3), 523–544. https://doi.org/10.1016/S0304-3932(01)00055-1
  • Lewis, L. (2017, November 7). Japan faces ‘Brewster’s millions’ challenge. Financial Times. https://www.ft.com/content/844a6cd4-c2d5-11e7-a1d2-6786f39ef675
  • Lewis, L. (2020, January 22). One vital prop could be wobbling for the Japanese stock market. Financial Times. https://www.ft.com/content/164012f0-20c7-11ea-b8a1-584213ee7b2b
  • Nakano, M., Takahashi, A., Takahashi, S., & Tokioka, T. (2017). On the effect of Bank of Japan’s outright purchase on the JGB yield curve. Asia-Pacific Financial Markets, 25, 47–70. https://doi.org/10.1007/s10690-018-9238-5
  • Neely, C. J. (2015). Unconventional monetary policy had large international effects. Journal of Banking & Finance, 52(March), 101–111. https://doi.org/10.1016/j.jbankfin.2014.11.019
  • Oda, N., & Ueda, K. (2007). The effects of the Bank of Japan’s Zero interest rate commitment and quantitative monetary easing on the yield curve: A Macro-Finance Approach. The Japanese Economic Review, 58(3), 303–328. https://doi.org/10.1111/j.1468-5876.2007.00422.x
  • Shogbuyi, A., & Steeley, J. M. (2017). The effect of quantitative easing on the variance and covariance of the UK and US equity markets. International Review of Financial Analysis, 52(July), 281–291. https://doi.org/10.1016/j.irfa.2017.07.009
  • Ueda, K. (2013). Response of asset prices to monetary policy under abenomics. Asian Economic Policy Review, 8(2), 252–269. https://doi.org/10.1111/aepr.12026
  • Warther, V. A. (1995). Aggregate mutual fund flows and security returns. Journal of Financial Economics, 39(2–3), 209–235. https://doi.org/10.1016/0304-405X(95)00827-2