Brahmana, Rayenda; Chee Wooi Hooy; Ahmad, Zamri
July 2012
Asian Academy of Management Journal of Accounting & Finance;2012, Vol. 8 Issue 2, p1
Academic Journal
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.


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