| Budget Amount *help |
¥4,420,000 (Direct Cost: ¥3,400,000、Indirect Cost: ¥1,020,000)
Fiscal Year 2019: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Fiscal Year 2018: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2017: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
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| Outline of Final Research Achievements |
Based on the previous studies, we compute the uncertainty measure and the ambiguity measure. We investigate whether both measures affect the excess returns on Japanese stocks or not. We find that, while the uncertainty measure does not affect the excess returns, the ambiguity measure has significant impact on excess stock returns. It is difficult for investors to predict the timing of the ETF purchase executed by the Bank of Japan, because the purchasing policy is not consistent. The ETF purchase policy of the Bank of Japan may increase the ambiguity in the stock markets. We examine the effect of the announcement of the ETF purchase by the Bank of Japan on the Japanese stock prices. We find that the announcement of the ETF purchase by the Bank of Japan mitigate the positive effect on stock prices caused by the announcement monetary easing policy of the Bank of Japan.
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