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Weekend Effect and Short Sales: Evidence from Hong Kong

Author

Listed:
  • Jinghan Cai

    (University of Scranton, United States)

  • Jibao He

    (Shenzhen Stock Exchange, China)

  • Le Xia

    (BBVA, Hong Kong and Renmin University of China, China)

  • Weili Zhai

    (Shenzhen University, China)

Abstract

Using a unique short selling setting in Hong Kong stock market, we test the Chen and Singal (2003) hypothesis that speculative short sellers add to the selling pressure on Mondays and hence add to the weekend effect. We document that, first, the weekend effect exists in Hong Kong stock market, regardless of the existence of short sale constraints; second, after introducing short selling, the individual stocks face more significant weekend effect. The reported result is robust over different estimation models, and over different choices of control groups. Our findings strongly support the Chen and Singal (2003) hypothesis.

Suggested Citation

  • Jinghan Cai & Jibao He & Le Xia & Weili Zhai, 2017. "Weekend Effect and Short Sales: Evidence from Hong Kong," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 3(2), pages 8-18, 02-2017.
    • Handle: RePEc:arp:ijefrr:2017:p:8-18
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    References listed on IDEAS

    as
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