This paper examines the impacts of the Bank of Japan's (BOJ) exchange-traded funds (ETFs) purchasing program that has been conducted since December 2010. The program is a part of the BOJ's unconventional monetary policy and has accelerated since the introduction of the Quantitative and Qualitative Easing in April 2013. In this study, the influence of underlying stocks is assessed by comparing the performance of the stocks (those included in the Nikkei 225 and others) using a difference-in-difference analysis. We also separate morning and afternoon returns to control for the fact that the BOJ tends to purchase ETFs when performance of the stock market is weak in the morning session. We find that the Nikkei 225 component stocks' afternoon returns are significantly higher than those of non-Nikkei 225 stocks when the BOJ purchases ETFs. In addition, the subsample analysis demonstrates that the impact on Nikkei 225 stock returns becomes smaller over time despite the growing purchase amounts. Overall, our results indicate that the cumulative treatment effects on the Nikkei 225 are around 20% as of October 2017.

本文研究了自 2010 年 12 月以来日本银行 (BOJ) 交易所交易基金 (ETF) 购买计划的影响。该计划是日本央行非常规货币政策的一部分，自量化交易和 2013 年 4 月的定性宽松政策。在这项研究中，通过使用差异分析比较股票（包括在日经 225 指数和其他指数中的股票）的表现来评估标的股票的影响。我们还将上午和下午的回报分开来控制，因为日本央行倾向于在早盘股市表现疲软时购买 ETF。我们发现，当日本央行购买 ETF 时，日经 225 成分股的午后回报率明显高于非日经 225 指数股票。此外，子样本分析表明，尽管购买量不断增加，但对日经 225 指数股票回报的影响会随着时间的推移而变小。总体而言，我们的结果表明，截至 2017 年 10 月，日经 225 指数的累积治疗效果约为 20%。