THE ROLE OF HERD BEHAVIOUR IN DETERMINING THE INVESTOR'S MONDAY IRRATIONALITY
作者： Rayenda Brahmana , Chee Wooi Hooy , Zamri Ahmad
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摘要: With regards to determining whether herding is spontaneous and irrational behaviour causing the Day-of-the-week anomaly, this paper intersects Christie Huang (1995) herd model with French's (1980) in several layers of tests. We use firm-level data investigate return dispersion 846 Bursa Malaysia stocks during 1990-2010. This found determinant for investor's Monday irrationality, especially small caps industry.
usm.my 
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