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

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Rayenda Brahmana
Chee Wooi Hooy
Zamri Ahmad

Abstract

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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The Role of Herd Behaviour in Determining the Investor’s Monday Irrationality. (2012). Asian Academy of Management Journal of Accounting and Finance, 8(2), 1–20. https://ejournal.usm.my/aamjaf/article/view/aamjaf_vol8-no2-2012_1
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