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The Bank of Japan’s equity purchases and stock price crash risk

Author

Listed:
  • El Kalak, Izidin
  • Tosun, Onur Kemal
  • Yamada, Kazuo

Abstract

This paper documents a negative relationship between the Bank of Japan’s indirect ownership, through ETFs, in a firm and the firm’s stock price crash risk. This relationship strengthens further after the introduction of the Stewardship Code due to improved corporate governance.

Suggested Citation

  • El Kalak, Izidin & Tosun, Onur Kemal & Yamada, Kazuo, 2023. "The Bank of Japan’s equity purchases and stock price crash risk," Economics Letters, Elsevier, vol. 229(C).
    • Handle: RePEc:eee:ecolet:v:229:y:2023:i:c:s0165176523002392
    DOI: 10.1016/j.econlet.2023.111214
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    References listed on IDEAS

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    1. Vu, Anh Nguyet, 2020. "On the impact of quantitative easing on credit standards and systemic risk: The Japanese experience," Economics Letters, Elsevier, vol. 186(C).
    2. Kim, Jeong-Bon & Li, Yinghua & Zhang, Liandong, 2011. "Corporate tax avoidance and stock price crash risk: Firm-level analysis," Journal of Financial Economics, Elsevier, vol. 100(3), pages 639-662, June.
    3. Jia, Ning, 2018. "Corporate innovation strategy and stock price crash risk," Journal of Corporate Finance, Elsevier, vol. 53(C), pages 155-173.
    4. Masazumi Hattori & Andreas Schrimpf & Vladyslav Sushko, 2016. "The Response of Tail Risk Perceptions to Unconventional Monetary Policy," American Economic Journal: Macroeconomics, American Economic Association, vol. 8(2), pages 111-136, April.
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    More about this item

    Keywords

    Bank of Japan; Monetary policy; ETF; Crash risk;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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