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...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Asian Academy of Management and Penerbit Universiti Sains Malaysia
2012
|
| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/9691/ http://ir.unimas.my/id/eprint/9691/1/The%20Role%20of%20Herd%20Behaviour%20on%20Determining%20the%20Day-of-the%20Week%20Anomaly%28abstract%29.pdf |