The Role of Herd Behaviour in Determining the Investor‘s Monday Irrationality
With regards to determining whether herding is spontaneous and irrational behavior 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 1990â€“2010. This paper found the herd behaviour is the determinant for investorâ€™s Monday irrationality, especially in small caps industry.
Volume (Year): 8 (2012)
Issue (Month): 2 ()
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