Did the Bank of Japan’s Purchases of Exchange-Traded Funds Affect Stock Prices? A Synthetic Control Approach

7 Pages Posted: 18 Feb 2021

See all articles by Kohei Aono

Kohei Aono

Ritsumeikan University - Faculty of Economics

Hiroshi Gunji

Daito Bunka University

Hayato Nakata

affiliation not provided to SSRN

Date Written: February 16, 2021

Abstract

This study investigates the effect of the Bank of Japan’s large-scale exchange-traded fund purchasing program since 2013 on stock prices using a synthetic control method. We use the stock price indexes of 27 OECD countries as a control group and estimate the time-series data of the synthetic stock price index of Japan. The results show that the index in Japan had increased gradually relative to the synthetic Japanese index from 2013. This result suggests that the Bank of Japan’s intervention in the stock market is distorting stock prices and should be reconsidered.

Keywords: Bank of Japan, exchange-traded fund, unconventional monetary policy, stock price index, synthetic control.

JEL Classification: E52, E53, G12.

Suggested Citation

Aono, Kohei and Gunji, Hiroshi and Nakata, Hayato, Did the Bank of Japan’s Purchases of Exchange-Traded Funds Affect Stock Prices? A Synthetic Control Approach (February 16, 2021). Available at SSRN: https://ssrn.com/abstract=3786502 or http://dx.doi.org/10.2139/ssrn.3786502

Kohei Aono

Ritsumeikan University - Faculty of Economics ( email )

1-1-1 Noji-Higashi
Kusatsu, Shiga 525-8577, Siga 525-8577
Japan

Hiroshi Gunji (Contact Author)

Daito Bunka University ( email )

1-9-1 Takashimadaira
Itabashi-ku, Tokyo 175-8571
Japan

Hayato Nakata

affiliation not provided to SSRN

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