IDEAS home Printed from https://ideas.repec.org/a/rmk/rmkbae/v8y2021i1p109-119.html
   My bibliography  Save this article

Have the Purchases of ETF Raised Stock Prices? Recent Japanese Case

Author

Listed:
  • Yutaka Kurihara
  • Shinichiro Maeda
  • Akio Fukushima

Abstract

The Japanese central bank, the Bank of Japan (BOJ) has introduced a drastic and unprecedented quantitative easing (QE) policy to combat deflation from the 2000s. The BOJ has purchased exchange-traded funds (ETF) as well as huge amounts of domestic governments bonds. This paper investigates the effect of ETF purchases by the BOJ on Japanese stock prices. Empirical results show that the purchases were conducted to prevent decreasing stock prices, however, whether the purchases directly promoted stock prices rising or not is uncertain in the short-run. On the other hand, as stock prices have been increasing since then, the purchases made situations such as preventing a decrease to stock prices and promoting prices in the long-run.

Suggested Citation

  • Yutaka Kurihara & Shinichiro Maeda & Akio Fukushima, 2021. "Have the Purchases of ETF Raised Stock Prices? Recent Japanese Case," Bulletin of Applied Economics, Risk Market Journals, vol. 8(1), pages 109-119.
    • Handle: RePEc:rmk:rmkbae:v:8:y:2021:i:1:p:109-119
    as

    Download full text from publisher

    File URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/have-the-purchases-of-etf-raised-stock-prices-recent-japanese-case/?download=attachment.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Si Cheng & Massimo Massa & Hong Zhang, 2019. "The Unexpected Activeness of Passive Investors: A Worldwide Analysis of ETFs," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 9(2), pages 296-355.
    2. He Nie & Yonghong Jiang & Baoqing Yang, 2018. "Do different time horizons in the volatility of the US stock market significantly affect the China ETF market?," Applied Economics Letters, Taylor & Francis Journals, vol. 25(11), pages 747-751, June.
    3. Rohnn Sanderson & Nancy L. Lumpkin-Sowers, 2018. "Buy and Hold in the New Age of Stock Market Volatility: A Story about ETFs," IJFS, MDPI, vol. 6(3), pages 1-14, September.
    4. Yutaka Kurihara, 2016. "Effectiveness of the Zero Interest Rate Policy for Financial Markets in Japan: Principal Components Analysis," Applied Economics and Finance, Redfame publishing, vol. 3(3), pages 103-111, August.
    5. Itzhak Ben‐David & Francesco Franzoni & Rabih Moussawi, 2018. "Do ETFs Increase Volatility?," Journal of Finance, American Finance Association, vol. 73(6), pages 2471-2535, December.
    6. S. Narend & M. Thenmozhi, 2019. "Do Country ETFs Influence Foreign Stock Market Index? Evidence from India ETFs," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(1_suppl), pages 59-86, April.
    7. Lee, Kyuseok & Kim, Soo-Hyun, 2018. "Do Leveraged/Inverse Etfs Wag The Underlying Market? : Evidence From The Korean Stock Market," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 59(2), pages 83-94, December.
    8. Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2018. "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," JRFM, MDPI, vol. 11(4), pages 1-25, September.
    9. Li, Mingsheng & Zhao, Xin, 2014. "Impact of leveraged ETF trading on the market quality of component stocks," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 90-108.
    10. Stephanos Papadamou & Nikolaos A. Kyriazis & Lydia Mermigka, 2017. "Japanese Mutual Funds before and after the Crisis Outburst: A Style- and Performance-Analysis," IJFS, MDPI, vol. 5(1), pages 1-20, March.
    11. Liu, Qingfu & Tse, Yiuman, 2017. "Overnight returns of stock indexes: Evidence from ETFs and futures," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 440-451.
    12. Gerasimos G. Rompotis, 2018. "Spillover effects between US ETFs and emerging stock markets," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 20(3), pages 327-372.
    13. Kwok-Chiu Lam, 2015. "Did Abenomics’ Two Arrows Hit the Bulls?," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 5(3), pages 1-4.
    14. Yutaka Kurihara & Eiji Nezu, 2006. "Recent stock price relationships between Japanese and US stock markets," Studies in Economics and Finance, Emerald Group Publishing, vol. 23(3), pages 211-226, August.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Yuan, Ying & Huang, Yizhao & Chen, Haoran, 2021. "Monthly-rebalanced leveraged exchange-traded products: Performance and mandatory rebalancing needs," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    2. Joey W. Yang & Lewis May & John Gould, 2023. "Exchange‐traded fund ownership and underlying stock mispricing," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(S1), pages 1417-1445, April.
    3. Marszk, Adam & Lechman, Ewa, 2024. "What drives sustainable investing? Adoption determinants of sustainable investing exchange-traded funds in Europe," Structural Change and Economic Dynamics, Elsevier, vol. 69(C), pages 63-82.
    4. Parizad Phiroze Dungore & Sarosh Hosi Patel, 2021. "Analysis of Volatility Volume and Open Interest for Nifty Index Futures Using GARCH Analysis and VAR Model," IJFS, MDPI, vol. 9(1), pages 1-11, January.
    5. Kiran Paudel & Atsuyuki Naka, 2023. "Effects of size on the exchange-traded funds performance," Journal of Asset Management, Palgrave Macmillan, vol. 24(6), pages 474-484, October.
    6. Vassilios Babalos & Elie Bouri & Rangan Gupta, 2024. "Does the Introduction of US Spot Bitcoin ETFs Affect Spot Returns and Volatility of Major Cryptocurrencies?," Working Papers 202416, University of Pretoria, Department of Economics.
    7. Agarwal, Vikas & Hanouna, Paul & Moussawi, Rabih & Stahel, Christof W., 2021. "Do ETFs increase the commonality in liquidity of underlying stocks?," CFR Working Papers 21-04, University of Cologne, Centre for Financial Research (CFR).
    8. Chen, Yanan & Qi, Haozhi, 2024. "COVID-19 pandemic-related news and Chinese commodities futures: Time-frequency connectedness and causality-in-quantiles approaches," Energy, Elsevier, vol. 286(C).
    9. Xu, Liao & Pu, Wenyan, 2022. "ETFs, arbitrage activity, and stock market efficiency: Evidence from Chinese CSI 300 ETFs," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 1-9.
    10. Damien Kunjal, 2022. "Evaluating the Liquidity Response of South African Exchange-Traded Funds to Country Risk Effects," Economies, MDPI, vol. 10(6), pages 1-20, June.
    11. Dannhauser, Caitlin D., 2017. "The impact of innovation: Evidence from corporate bond exchange-traded funds (ETFs)," Journal of Financial Economics, Elsevier, vol. 125(3), pages 537-560.
    12. Luca J. Liebi, 2020. "The effect of ETFs on financial markets: a literature review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(2), pages 165-178, June.
    13. Broman, Markus S., 2020. "Local demand shocks, excess comovement and return predictability," Journal of Banking & Finance, Elsevier, vol. 119(C).
    14. Bogousslavsky, Vincent & Muravyev, Dmitriy, 2023. "Who trades at the close? Implications for price discovery and liquidity," Journal of Financial Markets, Elsevier, vol. 66(C).
    15. Yousefi, Hamed & Najand, Mohammad, 2022. "Geographical diversification using ETFs: Multinational evidence from COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 83(C).
    16. Hurlin, Christophe & Iseli, Grégoire & Pérignon, Christophe & Yeung, Stanley, 2019. "The counterparty risk exposure of ETF investors," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 215-230.
    17. Itzhak Ben-David & Francesco Franzoni & Rabih Moussawi & John Sedunov, 2021. "The Granular Nature of Large Institutional Investors," Management Science, INFORMS, vol. 67(11), pages 6629-6659, November.
    18. Itzhak Ben-David & Francesco A. Franzoni & Rabih Moussawi, 2019. "An Improved Method to Predict Assignment of Stocks into Russell Indexes," Swiss Finance Institute Research Paper Series 19-56, Swiss Finance Institute.
    19. Ivan T. Ivanov & Stephen L. Lenkey, 2014. "Are Concerns About Leveraged ETFs Overblown?," Finance and Economics Discussion Series 2014-106, Board of Governors of the Federal Reserve System (U.S.).
    20. Enow, Samuel Tabot, 2023. "The Merits of buy and Hold Strategy in International Financial Markets," Journal of Economic and Social Development, Clinical Journals Press, vol. 10(02), pages 01-05, September.

    More about this item

    Keywords

    Bank of Japan; ETF; stock price;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E61 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Policy Objectives; Policy Designs and Consistency; Policy Coordination

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rmk:rmkbae:v:8:y:2021:i:1:p:109-119. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Eleftherios Spyromitros-Xioufis (email available below). General contact details of provider: http://www.riskmarket.co.uk/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.