دانلود رایگان مقاله سیاست پولی نوسان نرخ ارز و رفتار توده ای در بازار سهام

abstract

Interest rate and exchange rate are two important macroeconomic variables that exert considerable effects on the stock market. In this study, we investigate whether variations in interest and exchange rates induce herding behavior in the Chinese stock market. Empirical results indicate that interest rate increase and Chinese currency (CNY) depreciation will induce herding and this phenomenon is mainly manifested in down markets. Moreover, the herding level of the highest idiosyncratic volatility quintile portfolio is twice that of the lowest quintile portfolio which we consider evidence of intentional herding. This result is consistent with those of previous studies, which report that retail investors prefer and overweigh lottery-type stocks. Finally, we investigate the effects of monetary policy announcements and extreme exchange rate volatility on herding because these events elicit considerable public attention and may trigger collective behavior in the aggregate market.

5. Conclusion

Interest and exchange rates are two important macroeconomic variables that considerably affect the stock returns. In this study, we examine whether variations in interest and exchange rates induce investors’ tendency to herd in the Chinese stock market. Our results show that interest rate increase and CNY depreciation will induce herding behavior. This phenomenon is mainly manifested in down markets, which reflects that investors respond more intensively to bad news than to good news. Furthermore, we propose a novel method to detect the occurrence of intentional herding by examining whether investors herd on the idiosyncratic risk of stocks. We find that the herding level of the highest IVOL quintile portfolio is twice that of the lowest quintile portfolio, thereby proving that intentional herding occurs in the Chinese stock market. This finding is consistent with the prediction that retail investors prefer lottery-type stocks in which high IVOL is one of the most remarkable characteristics, and that retail investors tend to overweigh considerably and heavily trade such stocks (Kumar, 2009; Han & Kumar, 2013). Finally, we investigate the effects of monetary policy announcements and extreme exchange rate volatility on herding.