The role of herd behaviour in determining the investor's Monday irrationality

Rayenda Brahmana, Chee Wooi Hooy, Zamri Ahmad

Research output: Contribution to journalArticlepeer-review

20 Citations (Scopus)
23 Downloads (Pure)

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.

Original languageEnglish
Pages (from-to)1-20
Number of pages20
JournalAsian Academy of Management Journal of Accounting and Finance
Volume8
Issue number2
Publication statusPublished - 31 Dec 2012
Externally publishedYes

Bibliographical note

This work is licensed under a Creative Commons Attribution 4.0 International License.

Funder

First author gratefully acknowledge the Fellowship scheme given by Universiti Sains Malaysia and PGRS Grant no 1001.PMGT.844110.

Keywords

  • herding
  • day-of-the-week anomaly
  • Malaysian listed companies

ASJC Scopus subject areas

  • Accounting
  • Finance

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