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Market anticipation and intraday trading: Evidence from BOJ ETF purchases

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  • Ko, Seongdeok

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.

Suggested Citation

  • Ko, Seongdeok, 2026. "Market anticipation and intraday trading: Evidence from BOJ ETF purchases," Finance Research Letters, Elsevier, vol. 91(C).
    • Handle: RePEc:eee:finlet:v:91:y:2026:i:c:s1544612325026704
    DOI: 10.1016/j.frl.2025.109421
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