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Short Sales and the Weekend Effect - Evidence from Hong Kong
Tongshu Ma State University of New York - SUNY at Binghamton Pengjie Gao University of Notre Dame - Mendoza College of Business Ivalina Kalcheva University of Arizona - Department of Finance September 2006 Abstract: Chen and Singal (2003a) contend that short-sellers create pervasive temporary price pressure and are responsible for the weekend effect. We do not find support for this hypothesis on the Stock Exchange of Hong Kong (SEHK). On the SEHK, short-selling was prohibited before 1994 and was allowed only for some stocks after 1994. We find strong weekend effect for the pre-1994 period. For the post-1994 period, strong weekend effects are present for both the stocks that were allowed to short-sell and those that were not. Moreover, the difference in the weekend effects between the two groups is statistically insignificant.
Keywords: weekend effect, short-sell, international finance JEL Classifications: G12, G14 Working Paper SeriesDate posted: October 09, 2006 ; Last revised: October 09, 2006Suggested CitationContact Information
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