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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: Brahmana, Rayenda, Hooy, Chee-Wooi, Zamri, Ahmad
Format: E-Article
Language:English
Published: Asian Academy of Management and Penerbit Universiti Sains Malaysia 2012
Subjects:
HC Economic History and Conditions
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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spelling my.unimas.ir.96912016-04-14T06:55:02Z http://ir.unimas.my/id/eprint/9691/ The Role of Herd Behaviour on Determining the Day-of-the Week Anomaly: A Lesson from Malaysia Stock Market Brahmana, Rayenda Hooy, Chee-Wooi Zamri, Ahmad HC Economic History and Conditions 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. Asian Academy of Management and Penerbit Universiti Sains Malaysia 2012 E-Article NonPeerReviewed text en http://ir.unimas.my/id/eprint/9691/1/The%20Role%20of%20Herd%20Behaviour%20on%20Determining%20the%20Day-of-the%20Week%20Anomaly%28abstract%29.pdf Brahmana, Rayenda and Hooy, Chee-Wooi and Zamri, Ahmad (2012) The Role of Herd Behaviour on Determining the Day-of-the Week Anomaly: A Lesson from Malaysia Stock Market. Asian Academy of Management Journal of Accounting and Finance, 8 (2). pp. 1-20. 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
institution Universiti Malaysia Sarawak
building Centre for Academic Information Services (CAIS)
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Sarawak
content_source UNIMAS Institutional Repository
url_provider http://ir.unimas.my/
language English
topic HC Economic History and Conditions
spellingShingle HC Economic History and Conditions
Brahmana, Rayenda
Hooy, Chee-Wooi
Zamri, Ahmad
The Role of Herd Behaviour on Determining the Day-of-the Week Anomaly: A Lesson from Malaysia Stock Market
description 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.
format E-Article
author Brahmana, Rayenda
Hooy, Chee-Wooi
Zamri, Ahmad
author_facet Brahmana, Rayenda
Hooy, Chee-Wooi
Zamri, Ahmad
author_sort Brahmana, Rayenda
title The Role of Herd Behaviour on Determining the Day-of-the Week Anomaly: A Lesson from Malaysia Stock Market
title_short The Role of Herd Behaviour on Determining the Day-of-the Week Anomaly: A Lesson from Malaysia Stock Market
title_full The Role of Herd Behaviour on Determining the Day-of-the Week Anomaly: A Lesson from Malaysia Stock Market
title_fullStr The Role of Herd Behaviour on Determining the Day-of-the Week Anomaly: A Lesson from Malaysia Stock Market
title_full_unstemmed The Role of Herd Behaviour on Determining the Day-of-the Week Anomaly: A Lesson from Malaysia Stock Market
title_sort role of herd behaviour on determining the day-of-the week anomaly: a lesson from malaysia stock market
publisher Asian Academy of Management and Penerbit Universiti Sains Malaysia
publishDate 2012
url 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
_version_ 1644510794364223488
score 13.211869

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