Abstract

http://ssrn.com/abstract=934992
 
 

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Short Sales and the Weekend Effect - Evidence from a Natural Experiment


Pengjie Gao


University of Notre Dame - Mendoza College of Business

Jia Hao


University of Michigan at Ann Arbor - Ross School of Business

Ivalina Kalcheva


University of California, Riverside - University of California, Riverside

Tongshu Ma


Binghamton University

July 10, 2012

Journal of Financial Markets, Forthcoming

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.

Number of Pages in PDF File: 35

Keywords: Short sale; Weekend effect; Hong Kong Stock Exchange

JEL Classification: G14, G15

Accepted Paper Series


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Date posted: October 9, 2006 ; Last revised: July 11, 2012

Suggested Citation

Gao, Pengjie and Hao, Jia and Kalcheva, Ivalina and Ma, Tongshu, Short Sales and the Weekend Effect - Evidence from a Natural Experiment (July 10, 2012). Journal of Financial Markets, Forthcoming. Available at SSRN: http://ssrn.com/abstract=934992 or http://dx.doi.org/10.2139/ssrn.934992

Contact Information

Pengjie Gao
University of Notre Dame - Mendoza College of Business ( email )
246 Mendoza College of Business
Notre Dame, IN 46556-5646
United States
(574) 631-8048 (Phone)
Jia Hao
University of Michigan at Ann Arbor - Ross School of Business ( email )
701 Tappan Street
Ann Arbor, MI MI 48109
United States
734-647-1690 (Phone)
Ivalina Kalcheva (Contact Author)
University of California, Riverside - University of California, Riverside ( email )
900 University Avenue
Riverside, CA 92521
United States
Tongshu Ma
Binghamton University ( email )
PO Box 6001
Binghamton, NY 13902-6000
United States
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