The Role of Herd Behaviour on Determining the Day-of-the Week Anomaly: A Lesson from Malaysia Stock Market
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...
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| Main Authors: | , , |
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| Format: | E-Article |
| Language: | English |
| Published: |
Asian Academy of Management and Penerbit Universiti Sains Malaysia
2012
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| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/9691/1/The%20Role%20of%20Herd%20Behaviour%20on%20Determining%20the%20Day-of-the%20Week%20Anomaly%28abstract%29.pdf http://ir.unimas.my/id/eprint/9691/ http://www.researchgate.net/publication/257938574_The_Role_of_Herd_Behaviour_on_Determining_the_Day-of-the_Week_Anomaly_A_Lesson_from_Malaysian_Stock_Market |
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| Summary: | 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. |
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