羊群行为与货币政策：来自南非兰特市场的证据

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE Journal of Behavioral and Experimental Finance Pub Date : 2024-03-20 DOI:10.1016/j.jbef.2024.100920

Xolani Sibande

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引用次数: 0

摘要

我们研究了扎伊尔市场中是否存在羊群效应及其与货币政策的相互作用。为此，我们使用了标准的羊群效应测试以及 Sim 和 Zhou（2015 年）的量化对量化回归。与之前在其他市场得出的结果类似，我们发现极端市场事件主要推动了南非兰特市场的羊群行为。这一结果在货币政策公告发布时也很明显。然而，扎伊尔市场上的羊群行为与市场流行无关。因此，这主要是对公共信息的理性反应，表明了中央银行的公信力。这种可信度为中央银行提供了在市场危机时期加强沟通以抑制潜在波动的空间。对特定的南非兰特市场参与者的羊群效应进行进一步研究是非常有价值的。

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Herding behaviour and monetary policy: Evidence from the ZAR market

We investigated the presence of herding and its interactions with monetary policy in the ZAR market. We achieved this using both the standard herding tests and Sim and Zhou’s (2015) quantile-on-quantiles regressions. Similar to previous results in other markets, we found that extreme market events mainly drove herding behaviour in the ZAR market. This result was also significant in the presence of monetary policy announcements. However, herding in the ZAR markets was not related to market fads. It, therefore, was, in the main, a rational response to public information, indicating central bank credibility. This credibility gives scope to the central bank to improve communication in periods of market crisis to dampen potential volatility. Further studies on the herding of specific ZAR market participants can be invaluable.

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来源期刊

Journal of Behavioral and Experimental Finance BUSINESS, FINANCE-

CiteScore

13.20

自引率

6.10%

发文量

审稿时长

69 days

期刊介绍： Behavioral and Experimental Finance represent lenses and approaches through which we can view financial decision-making. The aim of the journal is to publish high quality research in all fields of finance, where such research is carried out with a behavioral perspective and / or is carried out via experimental methods. It is open to but not limited to papers which cover investigations of biases, the role of various neurological markers in financial decision making, national and organizational culture as it impacts financial decision making, sentiment and asset pricing, the design and implementation of experiments to investigate financial decision making and trading, methodological experiments, and natural experiments. Journal of Behavioral and Experimental Finance welcomes full-length and short letter papers in the area of behavioral finance and experimental finance. The focus is on rapid dissemination of high-impact research in these areas.