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Foreign exchange market herd behaviour: empirical study in ASEAN-5 countries

Author

Listed:
  • Nevi Danila
  • Priyanka Aggarwal

Abstract

Purpose - The study examines the herd behaviour in Association of Southeast Asian Nations (ASEAN)-5 foreign exchange markets: Indonesia, Malaysia, Philippines, Singapore and Thailand. Design/methodology/approach - We use the daily data as a sample. Cross-sectional absolute deviation (CSAD) and quantile regression are employed to identify the herding behaviour in these markets. Findings - The findings report that all the foreign exchange markets in ASEAN-5 do not exhibit herding behaviour. Diversity of the fundamental economic, such as economic growth rate, rate of inflation and economy structure, produce monetary and exchange rate policies, is among the reasons for the absence of herd behaviour. Practical implications - Maintaining macroeconomic stability and promoting market resilience to outside shocks should remain a priority for policymakers. As for investors, diversification is still a vital risk-management strategy. Originality/value - This study provides a novel investigation into herd behaviour in ASEAN-5 foreign exchange market.

Suggested Citation

  • Nevi Danila & Priyanka Aggarwal, 2024. "Foreign exchange market herd behaviour: empirical study in ASEAN-5 countries," Asian Journal of Accounting Research, Emerald Group Publishing Limited, vol. 10(1), pages 63-75, August.
    • Handle: RePEc:eme:ajarpp:ajar-11-2023-0381
    DOI: 10.1108/AJAR-11-2023-0381
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    More about this item

    Keywords

    Foreign exchange market; ASEAN-5; Herding; Currency; F3; G40;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • G40 - Financial Economics - - Behavioral Finance - - - General

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