BOJ’s ETF Purchasing Policy and Case Analysis on an Addition to and a Subtraction from Nikkei 225
ニホン ギンコウ ノ ＥＴＦ カイイレ セイサク ト ニッケイ ヘイキン カブカ メイガラ イレカエ ノ ジレイ ブンセキ
原田, 喜美枝 ,
Harada, Kimieハラダ, キミエ
26 , 2017-09 , 大阪大学大学院国際公共政策研究科 , オオサカ ダイガク ダイガクイン コクサイ コウキョウ セイサク ケンキュウカ
In Honor of Prof. Shigeharu NOMURA
This paper explains the BOJ’s ETF purchasing program, indirect holdings by the central bank, and the effect on individual stocks listed in the Nikkei 225 Index. It also examines the Japanese stock market response to an addition to and a subtraction from the Nikkei 225 Index. The heavy presence of the BOJ in the Nikkei 225 Index has raised concern that the BOJ will become one of the top shareholders of companies and bring some distortions on the index. Similar to the reactions in related literature, the stock prices of the added firm went up on the announcement day, continued to increase until the day before the effective change date, and decreased after the change date under the ETF purchasing program. Those of the deleted firm went down significantly and its cumulative abnormal returns slipped deeply. Negative impacts on the subtracted firm were observed.