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The bank of Japan’s intervention in exchange-traded funds as an effective monetary policy tool
Since the end of October 2010, the Bank of Japan has been pursuing a new Asset Purchase Programme, which includes, among other things, direct intervention in the domestic stock market through the purchase of exchange-traded funds. This research study evaluated the impact of the Bank of Japan’s excha...
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| Format: | Thesis |
| Language: | English |
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Graduate School of Business (GSB)
2018
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| _version_ | 1867614421195423744 |
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| access_status_str | Open Access |
| author | Pretorius, Ramon |
| author2 | Biekpe, Nicholas |
| author_browse | Biekpe, Nicholas Pretorius, Ramon |
| author_facet | Biekpe, Nicholas Pretorius, Ramon |
| author_sort | Pretorius, Ramon |
| collection | Thesis |
| description | Since the end of October 2010, the Bank of Japan has been pursuing a new Asset Purchase Programme, which includes, among other things, direct intervention in the domestic stock market through the purchase of exchange-traded funds. This research study evaluated the impact of the Bank of Japan’s exchange-traded fund purchase programme on market returns using an event study methodology. An investigation into a sample of 33 intervention events in the Nikkei 400 exchangetraded fund and 303 intervention events in the Nikkei 225 exchange-traded fund, found that the average abnormal one-day return is -1.36% for the Nikkei 400 exchange-traded fund and -1.39% for the Nikkei 225 exchange-traded fund, while the average abnormal five-day return is -0.63% and -1.11% for each exchange-traded fund respectively. Due to the high volatility, statistically the returns are indistinguishable from zero. However, this study presents evidence that the Bank of Japan intervenes predominantly during large decreases in the market. Hence, there is suggestive evidence that the Bank of Japan’s policy is effective at reducing market losses, but is not extensive enough to significantly increase returns. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/28383 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:51:46.444Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2018 |
| publishDateRange | 2018 |
| publishDateSort | 2018 |
| publisher | Graduate School of Business (GSB) |
| publisherStr | Graduate School of Business (GSB) |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/28383 The bank of Japan’s intervention in exchange-traded funds as an effective monetary policy tool Pretorius, Ramon Biekpe, Nicholas Sokolovski, Valeri Quantitative easing inflation deflation asset purchase programme exchange-traded funds Since the end of October 2010, the Bank of Japan has been pursuing a new Asset Purchase Programme, which includes, among other things, direct intervention in the domestic stock market through the purchase of exchange-traded funds. This research study evaluated the impact of the Bank of Japan’s exchange-traded fund purchase programme on market returns using an event study methodology. An investigation into a sample of 33 intervention events in the Nikkei 400 exchangetraded fund and 303 intervention events in the Nikkei 225 exchange-traded fund, found that the average abnormal one-day return is -1.36% for the Nikkei 400 exchange-traded fund and -1.39% for the Nikkei 225 exchange-traded fund, while the average abnormal five-day return is -0.63% and -1.11% for each exchange-traded fund respectively. Due to the high volatility, statistically the returns are indistinguishable from zero. However, this study presents evidence that the Bank of Japan intervenes predominantly during large decreases in the market. Hence, there is suggestive evidence that the Bank of Japan’s policy is effective at reducing market losses, but is not extensive enough to significantly increase returns. 2018-09-04T11:00:29Z 2018-09-04T11:00:29Z 2018 2018-09-03T06:33:37Z Thesis http://hdl.handle.net/11427/28383 eng application/pdf Graduate School of Business (GSB) Faculty of Commerce University of Cape Town |
| spellingShingle | Quantitative easing inflation deflation asset purchase programme exchange-traded funds Pretorius, Ramon The bank of Japan’s intervention in exchange-traded funds as an effective monetary policy tool |
| title | The bank of Japan’s intervention in exchange-traded funds as an effective monetary policy tool |
| title_full | The bank of Japan’s intervention in exchange-traded funds as an effective monetary policy tool |
| title_fullStr | The bank of Japan’s intervention in exchange-traded funds as an effective monetary policy tool |
| title_full_unstemmed | The bank of Japan’s intervention in exchange-traded funds as an effective monetary policy tool |
| title_short | The bank of Japan’s intervention in exchange-traded funds as an effective monetary policy tool |
| title_sort | bank of japan s intervention in exchange traded funds as an effective monetary policy tool |
| topic | Quantitative easing inflation deflation asset purchase programme exchange-traded funds |
| url | http://hdl.handle.net/11427/28383 |
| work_keys_str_mv | AT pretoriusramon thebankofjapansinterventioninexchangetradedfundsasaneffectivemonetarypolicytool AT pretoriusramon bankofjapansinterventioninexchangetradedfundsasaneffectivemonetarypolicytool |