When Japanese Stock Market Meets COVID-19: Impact of Ownership, Trading, ESG, and Liquidity Channels

By Hidenori Takahashi, Kazuo Yamada. Social Science Research Network, 2020

159 citations recorded by the source corpus.

We identify factors affecting the Japanese stock market during the COVID-19 pandemic period. First, we focus on the ownership structure. We find that indirect ownership through the exchange-traded fund purchasing program by the Bank of Japan has a positive impact on abnormal returns. Foreign ownership is negatively associated with abnormal returns, whereas ownership by traditional business groups is positively associated with abnormal returns. Second, we examine the impact of global value chains and find that stock returns are lower for companies with China and U.S. exposure. Third, in terms of environmental, social, and governance (ESG) engagement, there is no evidence that firms that have highly rated ESG scores have higher abnormal returns, but firms with ESG funds outperform those without.

View Paper: https://www.semanticscholar.org/paper/2bb0c0f4f3bccc1b34b6b2d3b65685a0c52be578

Citations in the corpus

• Banking sector reactions to COVID-19: The role of bank-specific factors and government policy responses (2021, unknown): “This aligns with Takahashi and Yamada (2021), who documented that ESG activities are not associated with abnormal returns.”