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.
|Number of pages||20|
|Journal||Asian Academy of Management Journal of Accounting and Finance|
|Publication status||Published - 31 Dec 2012|
Bibliographical noteThis work is licensed under a Creative Commons Attribution 4.0 International License.
FunderFirst author gratefully acknowledge the Fellowship scheme given by Universiti Sains Malaysia and PGRS Grant no 1001.PMGT.844110.
- day-of-the-week anomaly
- Malaysian listed companies
ASJC Scopus subject areas