The Role of Herd Behaviour in Determining the Investor‘s Monday Irrationality

Rayenda Brahmana, Chee-Wooi Hooy and Zamri Ahmad
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Zamri Ahmad: Financial Market Based Research Cluster, School of Management, Universiti Sains Malaysia, 11800 Pulau Pinang

Asian Academy of Management Journal of Accounting and Finance (AAMJAF), 2012, vol. 8, issue 2, 1-20

Abstract: With regards to determining whether herding is spontaneous and irrational behavior 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.

Keywords: herding; day-of-the-week anomaly; Malaysian listed companies (search for similar items in EconPapers)
Date: 2012
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