Work

The Role of Herd Behaviour in Determining the Investor's Monday Irrationality

Year: 2012

Type: article

Abstract: With regards to determining whether herding is spontaneous and irrational behavior 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.

Source: Unimas Institutional Repository (Universiti Malaysia Sarawak)

Authors: Rayenda Khresna Brahmana, Chee‐Wooi Hooy, Zamri Ahmad

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W62004993

FWCI: 1.519

Cites: 38

Cited by: 23

Related to: 10