The bank of Japan’s intervention in exchange-traded funds as an effective monetary policy tool

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dc.contributor.advisorBiekpe, Nicholas
dc.contributor.advisorSokolovski, Valeri
dc.contributor.authorPretorius, Ramon
dc.date.accessioned2018-09-04T11:00:29Z
dc.date.available2018-09-04T11:00:29Z
dc.date.issued2018
dc.date.updated2018-09-03T06:33:37Z
dc.description.abstractSince 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.
dc.identifier.apacitationPretorius, R. (2018). <i>The bank of Japan’s intervention in exchange-traded funds as an effective monetary policy tool</i>. (). University of Cape Town ,Faculty of Commerce ,Graduate School of Business (GSB). Retrieved from http://hdl.handle.net/11427/28383en_ZA
dc.identifier.chicagocitationPretorius, Ramon. <i>"The bank of Japan’s intervention in exchange-traded funds as an effective monetary policy tool."</i> ., University of Cape Town ,Faculty of Commerce ,Graduate School of Business (GSB), 2018. http://hdl.handle.net/11427/28383en_ZA
dc.identifier.citationPretorius, R. 2018. The bank of Japan’s intervention in exchange-traded funds as an effective monetary policy tool. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Pretorius, Ramon AB - 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. DA - 2018 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2018 T1 - The bank of Japan’s intervention in exchange-traded funds as an effective monetary policy tool TI - The bank of Japan’s intervention in exchange-traded funds as an effective monetary policy tool UR - http://hdl.handle.net/11427/28383 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/28383
dc.identifier.vancouvercitationPretorius R. The bank of Japan’s intervention in exchange-traded funds as an effective monetary policy tool. []. University of Cape Town ,Faculty of Commerce ,Graduate School of Business (GSB), 2018 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/28383en_ZA
dc.language.isoeng
dc.publisher.departmentGraduate School of Business (GSB)
dc.publisher.facultyFaculty of Commerce
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherQuantitative easing
dc.subject.otherinflation
dc.subject.otherdeflation
dc.subject.otherasset purchase programme
dc.subject.otherexchange-traded funds
dc.titleThe bank of Japan’s intervention in exchange-traded funds as an effective monetary policy tool
dc.typeThesis
uct.type.filetypeText
uct.type.filetypeImage
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