Template-Type: ReDIF-Paper 1.0
Author-Name: Xolani Sibande
Title: Monetary policy and herding behaviour in the ZAR market
Abstract: This paper investigates the presence of herding and its interactions with monetary policy in the ZAR market. We use both the standard herding tests and Sim and Zhous (2015) quantile-on-quantile regressions. Similar to previous results in other markets, we found that extreme market events mainly drove herding behaviour in the ZAR market. This result is 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.
Creation-Date: 2023-11-14
File-URL: https://www.resbank.co.za/content/dam/sarb/publications/working-papers/2023/WP%202310.pdf
File-Format: application/pdf
File-Function: Revision
Number: 11053
Handle: RePEc:rbz:wpaper:11053