Brahmana, Rayenda and Hooy, Chee-Wooi and Zamri, Ahmad (2012) The Role of Herd Behaviour on Determining the Day-of-the Week Anomaly: A Lesson from Malaysia Stock Market. Asian Academy of Management Journal of Accounting and Finance, 8 (2). pp. 1-20.
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Abstract
With regards to determining whether herding is spontaneous and irrational behaviour causing the Day-of-the-week anomaly, this paper intersects the Christie and Huang (1995) herd behaviour model with French's (1980) Day-of-the-week model in several layers of tests. We use firm-level data and investigate the return dispersion of 846 Bursa Malaysia stocks during 1990–2010. This paper found the herd behaviour is the determinant for investor’s Monday irrationality, especially in small caps industry.
| Item Type: | Article |
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| Uncontrolled Keywords: | herding, day-of-the-week anomaly, Malaysian listed companies, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education, undergraduate, Postgraduate, research, Universiti Malaysia Sarawak |
| Subjects: | H Social Sciences > HC Economic History and Conditions |
| Divisions: | Academic Faculties, Institutes and Centres > Faculty of Economics and Business Faculties, Institutes, Centres > Faculty of Economics and Business |
| Depositing User: | Karen Kornalius |
| Date Deposited: | 11 Nov 2015 04:32 |
| Last Modified: | 14 Apr 2016 06:55 |
| URI: | http://ir.unimas.my/id/eprint/9691 |
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