References
- Abu Bakar, A., Siganos, A., & Vagenas-Nanos, E. (2014). Does Mood Explain the Monday Effect? Journal of Forecasting, 33(6), 409–418. https://doi.org/https://doi.org/10.1002/for.2305
- Agrawal, A., & Tandon, K. (1994). Anomalies or illusions? Evidence from stock markets in eighteen countries. Journal of International Money and Finance, 13(1), 83–106. https://doi.org/https://doi.org/10.1016/0261-5606(94)90026-4
- Aggarwal, R., & Schatzberg, J. D. (1997). Day of the week effects, information seasonality, and higher moments of security returns. Journal of Economics and Business, 49(1), 1–20. https://doi.org/https://doi.org/10.1016/S0148-6195(96)00043-4
- Aharon, D. Y. (2020). Uncertainty, Fear and Herding Behavior: Evidence from Size-Ranked Portfolios. Journal of Behavioral Finance, 23(3), 320–337. https://doi.org/https://doi.org/10.1080/15427560.2020.1774887
- Alagidede, P. (2008). Day of the week seasonality in African stock markets. Applied Financial Economics Letters, 4(2), 115–120. https://doi.org/https://doi.org/10.1080/17446540701537749
- Balcilar, M., Demirer, R., & Hammoudeh, S. (2013). Investor herds and regime-switching: Evidence from Gulf Arab stock markets. Journal of International Financial Markets, Institutions and Money, 23, 295–321. https://doi.org/https://doi.org/10.1016/j.intfin.2012.09.007
- Banerjee, A. (1992). A Simple Model of Herd Behavior. The Quarterly Journal of Economics, 107(3), 797–817. https://doi.org/https://doi.org/10.2307/2118364
- Bankoti, N. (2021). The Existence of Day of the Week Effect in Indian Stock Market. Academy of Marketing Studies Journal, 25(1), 1–8.
- Barber, B. M., Odean, T., & Zhu, N. (2009). Systematic noise. Journal of Financial Markets, 12(4), 547–569. https://doi.org/https://doi.org/10.1016/j.finmar.2009.03.003
- BenSaïda, A. (2017). Herding effect on idiosyncratic volatility in U.S. industries. Finance Research Letters, 23(11), 121–132. https://doi.org/https://doi.org/10.1016/j.frl.2017.03.001
- Berument, H., & Kiymaz, H. (2001). The day of the week effect on stock market volatility. Journal of Economics and Finance, 25(2), 181–193. https://doi.org/https://doi.org/10.1007/BF02744521
- Bikhchandani, S., Hirshleifer, D., & Welch, I. (1992). A theory of fads, fashion, custom and cultural change as informational cascades. Journal of Political Economy, 100(5), 992–1026. http://www.jstor.org/stable/2138632 https://doi.org/https://doi.org/10.1086/261849
- Birru, J. (2018). Day of the week and the cross-section of returns. Journal of Financial Economics, 130(1), 182–214. https://doi.org/https://doi.org/10.1016/j.jfineco.2018.06.008
- Brahmana, R., Chee, W. H., & Ahmad, Z. (2012). The role of herd behaviour in determining the investor’s Monday irrationality. Asian Academy of Management Journal of Accounting & Finance. 8(2), 1–20. http://web.usm.my/journal/aamjaf/8-2-1-2012.html
- Brusa, J., Liu, P., & Schulman, C. (2000). The weekend effect, “reverse” weekend effect, and firm size. Journal of Business Finance & Accounting, 27(5&6), 555–574. https://doi.org/https://doi.org/10.1111/1468-5957.00325
- Chang, E., Cheng, J., & Khorana, A. (2000). An examination of herd behavior inequity markets: An international perspective. Journal of Banking & Finance, 24(10), 1651–1679. https://doi.org/https://doi.org/10.1016/S0378-4266(99)00096-5
- Chang, C. H., & Lin, S. J. (2015). The effects of national culture and behavioral pitfalls on investors’ decision-making: Herding behavior in international stock markets. International Review of Economics & Finance, 37(3), 380–392. https://doi.org/https://doi.org/10.1016/j.iref.2014.12.010
- Chiah, M., & Zhong, A. (2021). Tuesday Blues and the day-of-the-week effect in stock returns. Journal of Banking & Finance, 133(12), 106243. https://doi.org/https://doi.org/10.1016/j.jbankfin.2021.106243
- Chiang, T. C., & Zheng, D. (2010). An empirical analysis of herd behavior in global stock markets. Journal of Banking & Finance, 34(8), 1911–1921. https://doi.org/https://doi.org/10.1016/j.jbankfin.2009.12.014
- Chander, R., Mehta, K., & Sharma, R. (2008). A reexamination of the day-of-the week effect on the Indian stock markets. The Icfai Journal of Applied Finance, 14(4), 5–20.
- Chauhan, Y., Ahmad, N., Aggarwal, V., & Chandrad, A. (2020). Herd behavior and asset pricing in the Indian stock market. IIMB Management Review, 32(2), 143–152. https://doi.org/https://doi.org/10.1016/j.iimb.2019.10.008
- Chia, R. C. J., & Liew, V. K. S. (2010). Evidence on the day-of-the-week effect and asymmetric behavior in the Bombay stock exchange. The IUP Journal of Applied Finance, 16, 17–29.
- Chiah, M., & Zhong, A. (2020). Trading from Home: The Impact of COVID-19 on Trading Volume around the World. Finance Research Letters, 37(11), 101784. https://doi.org/https://doi.org/10.1016/j.frl.2020.101784
- Christie, W. G., & Huang, R. D. (1995). Following the Pied-Piper: Do Individual Returns Herd Around the Market? Financial Analysts Journal, 51(4), 31–37. https://www.jstor.org/stable/4479855 https://doi.org/https://doi.org/10.2469/faj.v51.n4.1918
- Clement, M., & Tse, S. (2005). Financial analyst characteristics and herding behavior in forecasting. The Journal of Finance, 60(1), 307–341. https://doi.org/https://doi.org/10.1111/j.1540-6261.2005.00731.x
- Cross, F. (1973). The behavior of stock prices on Fridays and Mondays. Financial Analysts Journal, 29(6), 67–69. https://www.jstor.org/stable/4529641 https://doi.org/https://doi.org/10.2469/faj.v29.n6.67
- Darrat, A. F., Rahman, S., & Zhong, M. (2003). Intraday Trading Volume and Return Volatility of the DJIA Stocks: A Note. Journal of Banking & Finance, 27(10), 2035–2043. https://doi.org/https://doi.org/10.1016/S0378-4266(02)00321-7
- De Bondt, W. F. M., & Forbes, W. P. (1999). Herding in analyst earnings forecasts: Evidence from the United Kingdom. European Financial Management, 5(2), 143–163. https://doi.org/https://doi.org/10.1111/1468-036X.00087
- De Long, J. B., Shleifer, A., Summers, L., & Waldmann, R. (1990). Noise Traders Risk in Financial Markets. Journal of Political Economy, 98, 703–738. https://www.jstor.org/stable/2937765 https://doi.org/https://doi.org/10.1086/261703
- Devenow, A., & Welch, I. (1996). Rational herding in financial economics. European Economic Review, 40(3-5), 603–615. https://doi.org/https://doi.org/10.1016/0014-2921(95)00073-9
- Dicle, M., & Levendis, J. (2014). The day-of-the-week effect revisited: International evidence. Journal of Economics and Finance, 38(3), 407–437. https://doi.org/https://doi.org/10.1007/s12197-011-9223-6
- Economou, F., Hassapis, C., & Philippas, N. (2018). Investors’ fear and herding in the stock market. Applied Economics, 50(34-35), 3654–3663. https://doi.org/https://doi.org/10.1080/00036846.2018.1436145
- Elango, R., & Al Macki, N. M. (2008). Monday Effect and Stock Return Seasonality: Further Empirical Evidence. Business Review (Federal Reserve Bank of Philadelphia), 10(2), 282–288.
- Espinosa-Méndez, C., & Arias, J. (2021). Herding behaviour in Australian stock market: Evidence on COVID-19 effect. Applied Economics Letters, 28(21) 1898–1901. https://doi.org/https://doi.org/10.1080/13504851.2020.1854659
- Fields, M. (1931). Stock prices: A problem in verification. The Journal of Business, 4(4), 415–418. https://www.jstor.org/stable/2349652
- Fenzl, T., & Pelzmann, L. (2012). Psychological and Social Forces Behind Aggregate Financial Market Behavior. Journal of Behavioral Finance, 13(1), 56–65. https://doi.org/https://doi.org/10.1080/15427560.2012.655383
- French, K. (1980). Stock returns and the weekend effect. Journal of Financial Economics, 8(1), 55–69. https://doi.org/https://doi.org/10.1016/0304-405X(80)90021-5
- Frenkel, M., Mauch, M., & Rülke, J. C. (2020). Do forecasters of major exchange rates herd? Economic Modelling, 84(1), 214–221. https://doi.org/https://doi.org/10.1016/j.econmod.2019.04.011
- Gavriilidis, K., Kallinterakis, V., & Ferreira, M. P. L. (2013). Institutional industry herding: Intentional or spurious? Journal of International Financial Markets, Institutions and Money, 26(5), 192–214. https://doi.org/https://doi.org/10.1016/j.intfin.2013.05.008
- Gayaker, S., Yalcin, Y. & Berument, M. H. (2020). The day of the week effect and interest rates. Borsa Istanbul Review, 20(1), 55–63. https://doi.org/https://doi.org/10.1016/j.bir.2019.07.010
- Gelos, R. G., & Wei, S. J. (2005). Transparency and International Portfolio Holdings. The Journal of Finance, 60(6), 2987–3020. https://doi.org/https://doi.org/10.1111/j.1540-6261.2005.00823.x
- Holmes, P., Kallinterakis, V., & Ferreira, M. L. (2013). Herding in a concentrated market: A question of intent. European Financial Management, 19(3), 497–520. https://doi.org/https://doi.org/10.1111/j.1468-036X.2010.00592.x
- Huang, T. C., Lin, B. H., & Yang, T. H. (2015). Herd behavior and idiosyncratic volatility. Journal of Business Research 68(4), 763–770. https://doi.org/https://doi.org/10.1016/j.jbusres.2014.11.025
- Hung, W., Lu, C.-C., & Lee, C. F. (2010). Mutual fund herding its impact on stock returns: Evidence from the Taiwan stock market. Pacific-Basin Finance Journal, 18(5), 477–493. https://doi.org/https://doi.org/10.1016/j.pacfin.2010.06.001
- Hwang, S., & Salmon, M. (2004). Market Stress and Herding. Journal of Empirical Finance, 11(4), 585–616. https://doi.org/https://doi.org/10.1016/j.jempfin.2004.04.003
- Isen, A. M., & Patrick, R. (1983). The effects of positive affect on risk-taking: When the chips are down. Organizational Behavior and Human Performance, 31(2), 194–202. https://doi.org/https://doi.org/10.1016/0030-5073(83)90120-4
- Jaffe, J., & Westerfield, R. (1985). The week-end effect in common stock returns: The international evidence. The Journal of Finance, 40(2), 433–454. https://doi.org/https://doi.org/10.1111/j.1540-6261.1985.tb04966.x
- Jefferis, K., & Smith, G. (2005). The changing efficiency of African stock markets. The South African Journal of Economics, 73(1), 54–67. https://doi.org/https://doi.org/10.1111/j.1813-6982.2005.00004.x
- Johnston, E. T., Kracaw, W. A., & McConnell, J. J. (1991). Day-of-the-Week Effects in Financial Futures: An Analysis of GNMA, T-Bond, T-Note, and T-Bill Contracts. Journal of Financial and Quantitative Analysis, 26(1), 23–44. https://doi.org/https://doi.org/10.2307/2331241
- Kelly, F. (1930). Why you win or lose: the psychology of speculation. Boston and New York: Houghton Mifflin.
- Kumar, H., & Jawa, R. (2017). Efficient market hypothesis and calendar effects: Empirical evidences from the Indian stock markets. Business Analyst, 37(2), 145–160.
- Lakonishok, J., & Levi, M. (1982). Weekend effects on stock returns: A note. The Journal of Finance, 37(3), 883–889. https://doi.org/https://doi.org/10.1111/j.1540-6261.1982.tb02231.x
- Lao, P., & Singh, H. (2011). Herding behaviour in the Chinese and Indian stock markets. Journal of Asian Economics, 22(6), 495–506. https://doi.org/https://doi.org/10.1016/j.asieco.2011.08.001
- Lee, C.-C., Chen, M.-P., & Hsieh, K.-M. (2013). Industry herding and market states: Evidence from Chinese stock markets. Quantitative Finance, 13(7), 1091–1113. https://doi.org/https://doi.org/10.1080/14697688.2012.740571
- Litimi, H., BenSaïda, A., & Bouraoui, O. (2016). Herding and excessive risk in the American stock market: A sectoral analysis. Research in International Business and Finance, 38(3), 6–21. https://doi.org/https://doi.org/10.1016/j.ribaf.2016.03.008
- Nageswari, P., Selvam, M., & Gayathri, J. (2011). Analysis of Monday Effect in Indian Stock Market. Journal of Business and Management, 5(4), 170–177. https://doi.org/https://doi.org/10.3923/rjbm.2011.170.177
- Nath, H. B., & Brooks, R. D. (2020). Investor-herding and risk-profiles: A State-Space model-based assessment. Pacific-Basin Finance Journal, 62(3), 101383. https:// https://doi.org/https://doi.org/10.1016/j.pacfin.2020.101383
- Nath, G. C., & Dalvi, M. (2004). Day-of-the-week effect and market efficiency: Evidence from Indian equity market using high frequency data of National Stock Exchange. NSE Working Paper. Mumbai: National Stock Exchange. https://doi.org/https://doi.org/10.2139/ssrn.1092765
- Paital, R. R., & Panda, A. K. (2018). Day of the Week and Weekend Effects in the Indian Stock Market. Theoretical Economics Letters, 08(11), 2559–2568. https://doi.org/https://doi.org/10.4236/tel.2018.811164
- Pandey, P., & Sehgal, S. (2019). Investor Sentiment and its Role in Asset Pricing: An Empirical Study for India. IIMB Management Review, 31(2), 127–144. https://doi.org/https://doi.org/10.1016/j.iimb.2019.03.009
- Pochea, M.-M., Filip, A.-M., & Pece, A.-M. (2017). Herding behavior in CEE stock markets under asymmetric conditions: A quantile regression analysis. Journal of Behavioral Finance, 18(4), 400–416. https://doi.org/https://doi.org/10.1080/15427560.2017.1344677
- Rülke, J.C., Silgoner, M., & Wörz J. (2016). Herding behavior of business cycle forecasters. International Journal of Forecasting, 32(1), 23–33. urn:nbn:de:hbz:992-opus4-311 https://doi.org/https://doi.org/10.1016/j.ijforecast.2015.02.004
- Sharma, A., & Thaker, K. (2015). Market efficiency in developed and emerging markets. Afro-Asian Journal of Finance and Accounting, 5(4), 311–333. https://doi.org/https://doi.org/10.1504/AAJFA.2015.073470
- Shantha, K. V. A. (2019). The evolution of herd behavior: Will herding disappear over time? Studies in Economics and Finance, 36(4), 637–661. https://doi.org/https://doi.org/10.1108/SEF-06-2018-0175
- Srinivasan, P. & Kalaivani, M. (2013). Day of the week effects in the Indian stock market. MPRA Paper No. 46805. Bangalore: Faculty of Economics, Christ University. https://mpra.ub.uni-muenchen.de/46805/1/MPRA_paper_46805.pdf
- Trueman, B. (1994). Analyst Forecasts and Herding Behavior. Review of Financial Studies, 7(1), 97–124. https://doi.org/https://doi.org/10.1093/rfs/7.1.97
- Tan, L., Chiang, T. C., Mason, J. R., & Nelling, E. (2008). Herding behavior in Chinese stock markets: An examination of A and B shares. Pacific-Basin Finance Journal, 16(1-2), 61–77. https://doi.org/https://doi.org/10.1016/j.pacfin.2007.04.004
- Teh, L .L., & De Bondt, W. F. M. (1997). Herding behavior and stock returns: An exploratory investigation. Swiss Journal of Economic and Statistics, 133(2/2), 293–324. http://www.sjes.ch/papers/1997-II-11.pdf
- Wong, K. A., Hui, T. H., & Chan, C. Y. (1992). Day-of-the-week effects: Evidence from developing stock markets. Applied Financial Economics, 2(1), 49–56. https://doi.org/https://doi.org/10.1080/758527546
- Xie, T., Xu, Y., & Zhang, X. (2015). A new method of measuring herding in stock market and its empirical results in Chinese A-share market. International Review of Economics & Finance, 37(3), 324–339. https://doi.org/https://doi.org/10.1016/j.iref.2014.12.004