Rayenda Khresna, Brahmana and Chee, Wooi Hooy and Zamri, Bin Ahmad (2012) The role of herd behaviour in determining the investor's Monday irrationality. Asian Academy of Management Journal of Accounting and Finance, 8 (2). pp. 1-20. ISSN 1985-8299
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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, research, Universiti Malaysia Sarawak. |
| Subjects: | H Social Sciences > HF Commerce > HF5601 Accounting H Social Sciences > HG Finance |
| Divisions: | Academic Faculties, Institutes and Centres > Faculty of Economics and Business Faculties, Institutes, Centres > Faculty of Economics and Business |
| Depositing User: | Gani |
| Date Deposited: | 03 Jun 2020 08:52 |
| Last Modified: | 03 Jun 2020 08:52 |
| URI: | http://ir.unimas.my/id/eprint/29817 |
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