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

Rayenda Brahmana; Chee Wooi Hooy; Zamri Ahmad

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

Rayenda Brahmana, Chee Wooi Hooy, Zamri Ahmad

Universiti Sains Malaysia

Research output: Contribution to journal › Article › peer-review

17 Citations (Scopus)

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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.

Original language	English
Pages (from-to)	1-20
Number of pages	20
Journal	Asian Academy of Management Journal of Accounting and Finance
Volume	8
Issue number	2
Publication status	Published - 31 Dec 2012
Externally published	Yes

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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PublishedFinal published version, 1.51 MBLicence: CC BY

https://ejournal.usm.my/aamjaf/article/view/aamjaf_vol8-no2-2012_1Licence: CC BY

Cite this

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

Abstract

Bibliographical note

Funder

Keywords

ASJC Scopus subject areas

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