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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 Series

Date posted: October 09, 2006 ; Last revised: October 09, 2006

Suggested Citation

Ma, Tongshu, Kalcheva, Ivalina and Gao, Pengjie, Short Sales and the Weekend Effect - Evidence from Hong Kong (September 2006). Available at SSRN: http://ssrn.com/abstract=934992

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Contact Information

Pengjie Gao (Contact Author) 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)
Ivalina Kalcheva University of Arizona - Department of Finance ( email ) Finance Department P.O.Box 210108 Tucson, AZ 85721 United States HOME PAGE: http://finance.eller.arizona.edu/faculty/ikalcheva.aspx
Tongshu Ma State University of New York - SUNY at Binghamton ( email ) School of Management Binghamton, NY 13902-6000 United States