Brahmana, Rayenda Khresna
(2013)
Psychology Biases Explanation On Malaysian Day Of The Week Anomaly.
PhD thesis, Universiti Sains Malaysia.
Abstract
The main assumption in conventional finance is rational behavior. Based on this tenet,
investor is presumed cannot beat the market because each investor has same amount of
information with similar quality. However, market anomalies, such as Day-of-the week
anomaly, are the dossiers to show that basic tenet cannot be longer hold. Considering the
importance of DOWA in investment strategy and finance theory, it is imperative to study
further the determinant of that Monday irrationality from the perspective of investor’s
behavior. Even though many researchers have proposed trading behavior as the explanation
of the Monday Irrationality or Day-of-the Week anomaly, yet, it has still left without
empirical evidence. This research aims to investigate empirically by gauging psychological
approach whereas the affection bias (weather-induced mood, and moon-induced mood), and
cognition bias (attention bias, and cognitive dissonance) are the factors. In regards of
examining the relationships, this study employed two regression models, namely, interactive
model and day-by-day model. Preceding this phase, the role of affection (temperature and full
moon) was preliminary tested by conducting time series quasi experimental study.
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