Social Media, Herd Behavior and Exchange Rate Volatility: A Simulation

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SHAKERI ABBAS; BAHRAMI JAVID; TAHERPOOR JAVAD; TALEBLOU REZA; Derakhshan Hamidreza

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Journal: Financial Economics Year:2019 | Volume:13 | Issue:47 Page(s): 85-111

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Title

Social Media, Herd Behavior and Exchange Rate Volatility: A Simulation

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Keywords

Exchange RateQ2

Social MediaQ1

Market MicrostructureQ1

Herd BehaviorQ1

SimulationQ2

Abstract

This study applies microstructure approach to Exchange Rate in order to study the relationship between dissemination of unofficial information in Social Media on increasing informational homogeneity and Exchange Rate volatility and the effect of quality of public information on this relationship. Based on our Simulation results, in situations of low-quality macroeconomic data releases, we observe Exchange Rate volatility because of formation of Herd Behavior. On the other hand, with high-quality public information about the state of macroeconomic variables, there is no significant relationship between informational homogeneity of economic agents and Exchange Rate volatility. Finally, in the case of mid-quality public information, there is an inverse U relationship between informational homogeneity of economic agents and Exchange Rate volatility.

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APA: Copy

SHAKERI, ABBAS, BAHRAMI, JAVID, TAHERPOOR, JAVAD, TALEBLOU, REZA, & Derakhshan, Hamidreza. (2019). Social Media, Herd Behavior and Exchange Rate Volatility: A Simulation. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), 13(47 ), 85-111. SID. https://sid.ir/paper/229011/en

Vancouver: Copy

SHAKERI ABBAS, BAHRAMI JAVID, TAHERPOOR JAVAD, TALEBLOU REZA, Derakhshan Hamidreza. Social Media, Herd Behavior and Exchange Rate Volatility: A Simulation. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT)[Internet]. 2019;13(47 ):85-111. Available from: https://sid.ir/paper/229011/en

IEEE: Copy

ABBAS SHAKERI, JAVID BAHRAMI, JAVAD TAHERPOOR, REZA TALEBLOU, and Hamidreza Derakhshan, “Social Media, Herd Behavior and Exchange Rate Volatility: A Simulation,” JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), vol. 13, no. 47 , pp. 85–111, 2019, [Online]. Available: https://sid.ir/paper/229011/en

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