The Bank of Japan’s exchange traded fund purchases: a help or hindrance to market efficiency?

We examine the impact of the Bank of Japan’s exchange traded fund (ETF) purchases on two aspects of market efficiency—long-range dependence and price delay—of the TOPIX and Nikkei 225 indices. An increase in ETF purchases results in lower long-range dependence for both indices while the impact on th...

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Detalles Bibliográficos
Autores principales: Charteris, Ailie, Steyn, Conrad Alexander
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Palgrave Macmillan UK 2023
Materias:
Original Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10027587/
http://dx.doi.org/10.1057/s41260-023-00307-2
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author Charteris, Ailie
Steyn, Conrad Alexander
author_facet Charteris, Ailie
Steyn, Conrad Alexander
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description We examine the impact of the Bank of Japan’s exchange traded fund (ETF) purchases on two aspects of market efficiency—long-range dependence and price delay—of the TOPIX and Nikkei 225 indices. An increase in ETF purchases results in lower long-range dependence for both indices while the impact on the price delay varies according to index and measure. A sub-period analysis shows that the impact on market efficiency varies over time, with the dominant pattern being a delayed harmful effect, followed by a positive impact and thereafter a negative effect. The implications of these findings are discussed.
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spelling pubmed-100275872023-03-21 The Bank of Japan’s exchange traded fund purchases: a help or hindrance to market efficiency? Charteris, Ailie Steyn, Conrad Alexander J Asset Manag Original Article We examine the impact of the Bank of Japan’s exchange traded fund (ETF) purchases on two aspects of market efficiency—long-range dependence and price delay—of the TOPIX and Nikkei 225 indices. An increase in ETF purchases results in lower long-range dependence for both indices while the impact on the price delay varies according to index and measure. A sub-period analysis shows that the impact on market efficiency varies over time, with the dominant pattern being a delayed harmful effect, followed by a positive impact and thereafter a negative effect. The implications of these findings are discussed. Palgrave Macmillan UK 2023-03-21 2023 /pmc/articles/PMC10027587/ http://dx.doi.org/10.1057/s41260-023-00307-2 Text en © The Author(s) 2023 https://creativecommons.org/licenses/by/4.0/Open AccessThis article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/ (https://creativecommons.org/licenses/by/4.0/) .
spellingShingle Original Article
Charteris, Ailie
Steyn, Conrad Alexander
The Bank of Japan’s exchange traded fund purchases: a help or hindrance to market efficiency?
title The Bank of Japan’s exchange traded fund purchases: a help or hindrance to market efficiency?
title_full The Bank of Japan’s exchange traded fund purchases: a help or hindrance to market efficiency?
title_fullStr The Bank of Japan’s exchange traded fund purchases: a help or hindrance to market efficiency?
title_full_unstemmed The Bank of Japan’s exchange traded fund purchases: a help or hindrance to market efficiency?
title_short The Bank of Japan’s exchange traded fund purchases: a help or hindrance to market efficiency?
title_sort bank of japan’s exchange traded fund purchases: a help or hindrance to market efficiency?
topic Original Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10027587/
http://dx.doi.org/10.1057/s41260-023-00307-2
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