The Role of Herd Behaviour on Determining the Day-of-the Week Anomaly: A Lesson from Malaysia Stock Market

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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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Bibliographic Details
Main Authors:	Brahmana, Rayenda, Hooy, Chee-Wooi, Zamri, Ahmad
Format:	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/ http://ir.unimas.my/id/eprint/9691/1/The%20Role%20of%20Herd%20Behaviour%20on%20Determining%20the%20Day-of-the%20Week%20Anomaly%28abstract%29.pdf

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