Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 8, 2022 erstellt
Beschreibung:
This paper analyses how the Japanese ETF market size boosts the volatility of underlying assets. Similarly to the U.S. case, ETFs magnify the volatility of underlying assets transmitting exogenous shocks through the rebalancing process. However, Japan represents the only developed country where central bank purchases dominate the ETF market, and the Bank of Japan’s countercyclical policy mitigates the ETFs’ impact on the volatility of underlying asset prices. Further, BoJ protects the market from negative shock while tending not to intervene in case of a positive one generating a biased mitigation effect