Market anticipation and intraday trading: Evidence from BOJ ETF purchases

IF 7.1 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2026-03-01 Epub Date: 2025-12-29 DOI:10.1016/j.frl.2025.109421

Seongdeok Ko

引用次数: 0

Abstract

We study how financial markets absorb predictable policy interventions when price discovery is temporarily constrained. Using the Bank of Japan’s (BOJ) equity ETF purchase program as a natural experiment, we estimate intervention probabilities from intraday returns and examine their effects on Nikkei 225 futures traded on both the Osaka Exchange (OSE) and the Singapore Exchange (SGX). During the lunch break – when the cash equity market closes but futures remain active – trading volume rises sharply on days with high predicted intervention, even though prices remain stable. No comparable reaction appears in non-targeted futures (TSE Growth Market 250), while the consistent response across OSE and SGX highlights the international transmission of BOJ policy anticipation. These findings indicate that markets internalize expected policy actions through execution timing and liquidity provision rather than price adjustment, revealing a non-price channel of information absorption shaped by market microstructure and trading incentives.

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市场预期和盘中交易：来自日本央行ETF购买的证据

我们研究了当价格发现暂时受限时，金融市场如何吸收可预测的政策干预。利用日本银行（BOJ）的股票ETF购买计划作为自然实验，我们从日内收益中估计干预概率，并检查它们对在大阪交易所（OSE）和新加坡交易所（SGX）交易的日经225指数期货的影响。在午餐休息期间（现货股票市场休市，但期货市场仍然活跃），即使价格保持稳定，交易量也会在预计会进行干预的交易日大幅上升。非目标期货（东京证交所增长市场250）没有出现类似的反应，而东京证交所和新加坡交易所的一致反应突显了日本央行政策预期的国际传导。这些发现表明，市场通过执行时机和流动性提供而非价格调整来内化预期的政策行动，揭示了市场微观结构和交易激励形成的信息吸收非价格渠道。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

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