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

Author

Listed:
  • Rayenda Brahmana

    () (Financial Market Based Research Cluster, School of Management, Universiti Sains Malaysia, 11800 Pulau Pinang)

  • Chee Wooi Hooy

    (Financial Market Based Research Cluster, School of Management, Universiti Sains Malaysia, 11800 Pulau Pinang)

  • Zamri Ahmad

    (Financial Market Based Research Cluster, School of Management, Universiti Sains Malaysia, 11800 Pulau Pinang)

Abstract

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 1990–2010. This paper found the herd behaviour is the determinant for investor’s Monday irrationality, especially in small caps industry.

Suggested Citation

  • Rayenda Brahmana & Chee Wooi Hooy & Zamri Ahmad, 2012. "The Role of Herd Behaviour in Determining the Investor‘s Monday Irrationality," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 8(2), pages 1-20.
  • Handle: RePEc:usm:journl:aamjaf00802_1-20
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    File URL: http://web.usm.my/journal/aamjaf/vol8-2-2012/AAMJAF8-2-2012(1-20).pdf
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    Cited by:

    1. Jasman Tuyon & Zamri Ahmada, 2016. "Behavioural finance perspectives on Malaysian stock market efficiency," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 16(1), pages 43-61, March.

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