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The study examines the herd behaviour in Association of Southeast Asian Nations (ASEAN)-5 foreign exchange markets: Indonesia, Malaysia, Philippines, Singapore and Thailand.

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.

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.

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.

This study provides a novel investigation into herd behaviour in ASEAN-5 foreign exchange market.

The purpose of this paper is to examine investor sentiment by measuring the impact of market sentiment shocks on the volatility of the Islamic stock index of five ASEAN countries, with noise traders as a proxy for market sentiment.

The GJR-GARCH model is used to capture the empirically observed fact that negative shocks in the past period have a stronger impact on variance than positive shocks in the present.

All five ASEAN Islamic stock indices show clustering volatility. However, only three countries, namely, Malaysia, Thailand and Singapore, demonstrate leverage effects. In addition, the effect of market sentiment on Islamic stock index returns is observed in the Indonesian and Malaysian markets, which are the two largest Islamic markets with a dominant Muslim population in the ASEAN. This finding implies that the trading behaviours of Muslim investors in the Shariah market are the same as their behaviours in the conventional market, that is, nonadherence to the Sunnah.

Whilst establishing investment strategies, creating portfolios and providing client-advisory services, investors and fund managers should factor in the presence of market sentiment and its impact on stock performance and volatility. In addition, a capital market system preventing rumour-based transactions is compelling.

In some markets, the Islamic financial products awareness should be increased through education to attract increased domestic investors with the potential to boost growth in the Islamic stock market.

Investigation market sentiment impacts on the Islamic stock index using noise traders as a proxy.