Article ID Journal Published Year Pages File Type
960846 Journal of Financial Markets 2015 18 Pages PDF
Abstract
Price pressure induced by the short-seller׳s systematic unwinding and rewinding short positions around the weekend allegedly contributes to the weekend effect. On the Hong Kong Stock Exchange, short-selling was prohibited before 1994 and was allowed only for some stocks after 1994. Exploiting this natural experiment, we find a strong weekend effect during the pre-1994 period and during the post-1994 period for both stocks that are allowed to be sold short and those that are not. Moreover, the difference in the weekend effects between the two groups is economically and statistically indistinguishable. These results are inconsistent with the above-mentioned hypothesis.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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