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Investor Sentiment and (Anti-)Herding in the Currency Market: Evidence from Twitter Feed Data

Xolani Sibande (), Rangan Gupta (), Riza Demirer () and Elie Bouri ()
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Xolani Sibande: Department of Economics, University of Pretoria, Pretoria, South Africa

No 202088, Working Papers from University of Pretoria, Department of Economics

Abstract: This paper investigates (anti) herding in the US foreign exchange market while assessing the role of investor happiness as a predictor of herding. To achieve this objective, it uses dispersion metrics (CSAD and CSSD) and applies OLS regressions with rolling window and quantile-on-quantile regressions (QQR). The results show that the US foreign exchange market is characterized by a strong anti-herding behavior. In normal times, anti-herding and investor happiness are negatively related. However, in extreme bearish and bullish times, investor happiness is associated with more severe anti-herding. The findings are of particular interest to policymakers who are concerned with the stability of the US foreign exchange market.

Keywords: Herding; Exchange Rates; Time-varying Regression; Investor Happiness (search for similar items in EconPapers)
JEL-codes: G15 G40 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2020-09
New Economics Papers: this item is included in nep-isf and nep-mon
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