日本銀行のETF買入政策と日経平均株価銘柄入れ替えの事例分析

原田, 喜美枝

doi:https://doi.org/10.18910/65089

日本銀行のETF買入政策と日経平均株価銘柄入れ替えの事例分析

原田, 喜美枝

国際公共政策研究, 2017, 22(1), 15-26

Number of Access:1,133（2025-09-08 04:50 Counts）

Identifier to cite or link to this item: https://doi.org/10.18910/65089

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Title	日本銀行のETF買入政策と日経平均株価銘柄入れ替えの事例分析
	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
Creator	NRID 1000030338610 1000030338610 CreatorName 原田, 喜美枝 ; ハラダ, キミエ ; Harada, Kimie
Subject	ETF
	日本銀行
	イベント・スタディ
	Exchange Traded Funds
	The Bank of Japan
	Event Study Analysis
Description	野村茂治教授退職記念論文集
Description	In Honor of Prof. Shigeharu NOMURA
Abstract	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.
Publisher	大阪大学国際公共政策学会
Source Title	国際公共政策研究
Source Title	International Public Policy Studies
Volume (Issue)	22(1)
Page	15-26
Date of Issued	2017-09
Language	Japanese
Handle URL	https://hdl.handle.net/11094/65089
DOI	https://doi.org/10.18910/65089
eISSN	24320870
NCID	AA1115271X
Access Rights	open access
oaire:version	Version of Record
Category	紀要論文 Departmental Bulletin Paper
Category	INTERNATIONAL PUBLIC POLICY STUDIES / Vol.22 No.1 (2017-09)

Resource Type	departmental bulletin paper
Local Type	Departmental Bulletin Paper
DCMI Type	Text
DCTERMS.bibliographicCitation	国際公共政策研究. 2017, 22(1), p. 15-26
DC.title	日本銀行のETF買入政策と日経平均株価銘柄入れ替えの事例分析
	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
DC.creator	原田, 喜美枝
	ハラダ, キミエ
	Harada, Kimie
DC.publisher	大阪大学国際公共政策学会
DC.language' scheme='DCTERMS.RFC1766	Japanese
DC.type' scheme='DCTERMS.DCMIType	Text
DCTERMS.issued' scheme='DCTERMS.W3CDTF	2017-09
DC.subject	ETF
	日本銀行
	イベント・スタディ
	Exchange Traded Funds
	The Bank of Japan
	Event Study Analysis
DC.description	野村茂治教授退職記念論文集
DC.description	In Honor of Prof. Shigeharu NOMURA
DCTERMS.abstract	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.
DC.identifier	10.18910/65089
DC.format	65089
citation_title	日本銀行のETF買入政策と日経平均株価銘柄入れ替えの事例分析
citation_author	原田, 喜美枝
citation_publisher	大阪大学国際公共政策学会
citation_language	Japanese
citation_date	2017-09
citation_journal_title	国際公共政策研究
citation_volume	22
citation_issue	1
citation_firstpage	15
citation_lastpage	26
citation_public_url	https://hdl.handle.net/11094/65089
citation_doi_detail	10.18910/65089
citation_doi	https://doi.org/10.18910/65089

日本銀行のETF買入政策と日経平均株価銘柄入れ替えの事例分析

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