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: | , , |
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| Format: | Article |
| Language: | English |
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Asian Academy of Management and Penerbit Universiti Sains Malaysia
2012
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| 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 |
| _version_ | 1848836624647979008 |
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| author | Brahmana, Rayenda Hooy, Chee-Wooi Zamri, Ahmad |
| author_facet | Brahmana, Rayenda Hooy, Chee-Wooi Zamri, Ahmad |
| author_sort | Brahmana, Rayenda |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| 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. |
| first_indexed | 2025-11-15T06:26:44Z |
| format | Article |
| id | unimas-9691 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T06:26:44Z |
| publishDate | 2012 |
| publisher | Asian Academy of Management and Penerbit Universiti Sains Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-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 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 |
| 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 |
| title | 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_short | 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 |
| topic | HC Economic History and Conditions |
| url | http://ir.unimas.my/id/eprint/9691/ 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 |