The Role of Herd Behaviour on Determining the Day-of-the Week Anomaly: A Lesson from Malaysia Stock Market

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
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
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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