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Weather, investor irrationality and day-of-the-week anomaly: case of Indonesia

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  • Rayenda Brahmana
  • Chee-Wooi Hooy
  • Zamri Ahmad

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  • Rayenda Brahmana & Chee-Wooi Hooy & Zamri Ahmad, 2012. "Weather, investor irrationality and day-of-the-week anomaly: case of Indonesia," Journal of Bioeconomics, Springer, vol. 14(2), pages 129-146, July.
    • Handle: RePEc:kap:jbioec:v:14:y:2012:i:2:p:129-146
    DOI: 10.1007/s10818-011-9107-z
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    7. Syed Basher & Perry Sadorsky, 2006. "Day-of-the-week effects in emerging stock markets," Applied Economics Letters, Taylor & Francis Journals, vol. 13(10), pages 621-628.
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    22. Chang, Tsangyao & Nieh, Chien-Chung & Yang, Ming Jing & Yang, Tse-Yu, 2006. "Are stock market returns related to the weather effects? Empirical evidence from Taiwan," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 364(C), pages 343-354.
    23. French, Kenneth R. & Roll, Richard, 1986. "Stock return variances : The arrival of information and the reaction of traders," Journal of Financial Economics, Elsevier, vol. 17(1), pages 5-26, September.
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    28. Jaffe, Jeffrey F. & Westerfield, Randolph & Ma, Christopher, 1989. "A twist on the Monday effect in stock prices: Evidence from the U.S. and foreign stock markets," Journal of Banking & Finance, Elsevier, vol. 13(4-5), pages 641-650, September.
    29. Mahmood Yahyazadehfar & Esmaiel Abounoori & Hooman Shababi, 2006. "Days-of- Week Effect on Tehran Stock Exchange Returns: An Empirical Analysis," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 11(2), pages 149-164, spring.
    30. Abraham, Abraham & Ikenberry, David L., 1994. "The Individual Investor and the Weekend Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(2), pages 263-277, June.
    31. Elroy Dimson & Massoud Mussavian, 1998. "A brief history of market efficiency," European Financial Management, European Financial Management Association, vol. 4(1), pages 91-103.
    32. Kie Ann Wong & Kusnadi Yuanto, 1999. "Short-Term Seasonalities on the Jakarta Stock Exchange," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 2(03), pages 375-398.
    33. Bray, Margaret M & Savin, Nathan E, 1986. "Rational Expectations Equilibria, Learning, and Model Specification," Econometrica, Econometric Society, vol. 54(5), pages 1129-1160, September.
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    Cited by:

    1. Mihai Carp & Leontina Păvăloaia & Constantin Toma & Iuliana Eugenia Georgescu & Mihai-Bogdan Afrăsinei, 2020. "Companies’ Sustainable Growth, Accounting Quality, and Investments Performances. The Case of the Romanian Capital Market," Sustainability, MDPI, vol. 12(22), pages 1-16, November.
    2. Rayenda Brahmana & Chee Wooi Hooy & Zamri Ahmad, 2014. "The Role of Weather on Investors’ Monday Irrationality: Insights from Malaysia," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 8(2), June.
    3. Goodell, John W. & Kumar, Satish & Rao, Purnima & Verma, Shubhangi, 2023. "Emotions and stock market anomalies: A systematic review," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).

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    More about this item

    Keywords

    Irrational behavior; Day-of-the-week anomaly; Weather; Indonesia; D03; G14;
    All these keywords.

    JEL classification:

    • D03 - Microeconomics - - General - - - Behavioral Microeconomics: Underlying Principles
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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