IDEAS home Printed from https://ideas.repec.org/a/bla/finmgt/v38y2009i3p603-630.html
   My bibliography  Save this article

Short Selling and the Weekend Effect for NYSE Securities

Author

Listed:
  • Benjamin M. Blau
  • Bonnie F. Van Ness
  • Robert A. Van Ness

Abstract

Using short‐sale transactions data, we examine the relation between short selling and the weekend effect. We do not find that short selling is more abundant on Monday than on Friday, even for stocks that have higher Friday returns. We find that short sellers execute more short‐sale volume during the middle of the week, and that the positive correlation between short selling and returns on Monday is greater, on average, than the correlation on the other days of the week. Our results are robust to subsamples of stocks with larger weekend effects and stocks that do not have listed options.

Suggested Citation

  • Benjamin M. Blau & Bonnie F. Van Ness & Robert A. Van Ness, 2009. "Short Selling and the Weekend Effect for NYSE Securities," Financial Management, Financial Management Association International, vol. 38(3), pages 603-630, September.
    • Handle: RePEc:bla:finmgt:v:38:y:2009:i:3:p:603-630
    DOI: 10.1111/j.1755-053X.2009.01049.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1755-053X.2009.01049.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.1755-053X.2009.01049.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Keim, Donald B & Stambaugh, Robert F, 1984. "A Further Investigation of the Weekend Effect in Stock Returns," Journal of Finance, American Finance Association, vol. 39(3), pages 819-835, July.
    2. Wang, Ko & Li, Yuming & Erickson, John, 1997. "A New Look at the Monday Effect," Journal of Finance, American Finance Association, vol. 52(5), pages 2171-2186, December.
    3. Lakonishok, Josef & Vermaelen, Theo, 1986. "Tax-induced trading around ex-dividend days," Journal of Financial Economics, Elsevier, vol. 16(3), pages 287-319, July.
    4. Josef Lakonishok, Seymour Smidt, 1988. "Are Seasonal Anomalies Real? A Ninety-Year Perspective," The Review of Financial Studies, Society for Financial Studies, vol. 1(4), pages 403-425.
    5. Padma Kadiyala & Michael Vetsuypens, 2002. "Are Stock Spilts Credible Signals? Evidence from Short Interest Data," Financial Management, Financial Management Association, vol. 31(1), Spring.
    6. Stephen E. Christophe & Michael G. Ferri & James J. Angel, 2009. "Short Selling and the Weekend Effect in Nasdaq Stock Returns," The Financial Review, Eastern Finance Association, vol. 44(1), pages 31-57, February.
    7. repec:bla:jfinan:v:58:y:2003:i:2:p:685-706 is not listed on IDEAS
    8. repec:bla:jfinan:v:59:y:2004:i:4:p:1845-1876 is not listed on IDEAS
    9. Lo, Andrew W & MacKinlay, A Craig, 1990. "When Are Contrarian Profits Due to Stock Market Overreaction?," The Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 175-205.
    10. Hemang Desai & K. Ramesh & S. Ramu Thiagarajan & Bala V. Balachandran, 2002. "An Investigation of the Informational Role of Short Interest in the Nasdaq Market," Journal of Finance, American Finance Association, vol. 57(5), pages 2263-2287, October.
    11. repec:bla:jfinan:v:53:y:1998:i:6:p:2205-2223 is not listed on IDEAS
    12. Rogalski, Richard J, 1984. "New Findings Regarding Day-of-the-Week Returns over Trading and Non-trading Periods: A Note," Journal of Finance, American Finance Association, vol. 39(5), pages 1603-1614, December.
    13. Dyl, Edward A. & Maberly, Edwin D., 1992. "Odd-Lot Transactions around the Turn of the Year and the January Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(4), pages 591-604, December.
    14. Senchack, A. J. & Starks, Laura T., 1993. "Short-Sale Restrictions and Market Reaction to Short-Interest Announcements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(2), pages 177-194, June.
    15. Lakonishok, Josef & Maberly, Edwin, 1990. "The Weekend Effect: Trading Patterns of Individual and Institutional Investors," Journal of Finance, American Finance Association, vol. 45(1), pages 231-243, March.
    16. Sugato Chakravarty & John J. McConnell, 1997. "An Analysis of Prices, Bid/Ask Spreads, and Bid and Ask Depths Surrounding Ivan Boesky's Illegal Trading in Carnation's Stock," Financial Management, Financial Management Association, vol. 26(2), Summer.
    17. Danielsen, Bartley R. & Sorescu, Sorin M., 2001. "Why Do Option Introductions Depress Stock Prices? A Study of Diminishing Short Sale Constraints," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 36(4), pages 451-484, December.
    18. Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, vol. 18(1), pages 161-174, March.
    19. Abraham, Abraham & Ikenberry, David L., 1994. "The Individual Investor and the Weekend Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(2), pages 263-277, June.
    20. Ekkehart Boehmer & Charles M. Jones & Xiaoyan Zhang, 2008. "Which Shorts Are Informed?," Journal of Finance, American Finance Association, vol. 63(2), pages 491-527, April.
    21. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-636, May-June.
    22. Diamond, Douglas W. & Verrecchia, Robert E., 1987. "Constraints on short-selling and asset price adjustment to private information," Journal of Financial Economics, Elsevier, vol. 18(2), pages 277-311, June.
    23. Harris, Lawrence, 1986. "A transaction data study of weekly and intradaily patterns in stock returns," Journal of Financial Economics, Elsevier, vol. 16(1), pages 99-117, May.
    24. Figlewski, Stephen & Webb, Gwendolyn P, 1993. "Options, Short Sales, and Market Completeness," Journal of Finance, American Finance Association, vol. 48(2), pages 761-777, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Dumitriu, Ramona & Stefanescu, Razvan, 2013. "DOW effects in returns and in volatility of stock markets during quiet and turbulent times," MPRA Paper 47218, University Library of Munich, Germany, revised 02 Apr 2013.
    2. Sascha Füllbrunn & Tibor Neugebauer, 2012. "Margin Trading Bans in Experimental Asset Markets," Jena Economics Research Papers 2012-058, Friedrich-Schiller-University Jena.
    3. Gould, John & Yang, Joey W. & Singh, Ranjodh & Yeo, Ben, 2023. "The seasonality of lottery-like stock returns," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 383-400.
    4. 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.
    5. Ali, Fahad & Ülkü, Numan, 2020. "Weekday seasonality of stock returns: The contrary case of China," Journal of Asian Economics, Elsevier, vol. 68(C).
    6. Rima Turk Ariss & Rasoul Rezvanian & Seyed M. Mehdian, 2012. "WTO membership, ownership deregulation, and market efficiency: evidence from China," Applied Financial Economics, Taylor & Francis Journals, vol. 22(3), pages 177-195, February.
    7. Meher Shiva Tadepalli & Ravi Kumar Jain, 2018. "Persistence of calendar anomalies: insights and perspectives from literature," American Journal of Business, Emerald Group Publishing Limited, vol. 33(1/2), pages 18-60, May.
    8. Benjamin Blau & Chip Wade, 2013. "Comparing the information in short sales and put options," Review of Quantitative Finance and Accounting, Springer, vol. 41(3), pages 567-583, October.
    9. Gao, Pengjie & Hao, Jia & Kalcheva, Ivalina & Ma, Tongshu, 2015. "Short sales and the weekend effect—Evidence from a natural experiment," Journal of Financial Markets, Elsevier, vol. 26(C), pages 85-102.
    10. Yan, Zhipeng & Cheng, Lee-Young & Zhao, Yan & Huang, Chung-Yuan, 2016. "Daily short covering activity and the weekend effect: Evidence from Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 36(C), pages 166-184.
    11. Fink, Jason D. & Fink, Kristin E., 2013. "Hurricane forecast revisions and petroleum refiner equity returns," Energy Economics, Elsevier, vol. 38(C), pages 1-11.
    12. Kazemi, Hossein S. & Zhai, Weili & He, Jibao & Cai, Jinghan, 2013. "Stock Market Volatility, Speculative Short Sellers and Weekend Effect: International Evidence," MPRA Paper 54185, University Library of Munich, Germany, revised 15 Jul 2013.
    13. Ülkü, Numan & Rogers, Madeline, 2018. "Who drives the Monday effect?," Journal of Economic Behavior & Organization, Elsevier, vol. 148(C), pages 46-65.
    14. Bartley R. Danielsen & Robert A. Van Ness & Richard S. Warr, 2009. "Single Stock Futures as a Substitute for Short Sales: Evidence from Microstructure Data," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(9‐10), pages 1273-1293, November.
    15. Blau, Benjamin M. & Van Ness, Bonnie F. & Van Ness, Robert A., 2009. "Information and trade sizes: The case of short sales," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(4), pages 1371-1388, November.
    16. Bartley R. Danielsen & Robert A. Van Ness & Richard S. Warr, 2009. "Single Stock Futures as a Substitute for Short Sales: Evidence from Microstructure Data," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(9-10), pages 1273-1293.
    17. Crystal Xiaobei Chen, 2012. "The anatomy of short sales and price adjustment: evidence from the Hong Kong stock market," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 8(3), pages 204-218, June.
    18. Blau, Benjamin M. & Smith, Jason M., 2014. "Autocorrelation in daily short-sale volume," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(1), pages 31-41.
    19. Foong Soon Cheong, 2016. "Debunking Two Myths of the Weekend Effect," IJFS, MDPI, vol. 4(2), pages 1-9, April.
    20. Chih-Hsiang Chang & Wen-Shan Chiang, 2014. "Conditioned Responses towards Measures Relating to the Capital Cost of Short Sellers: Evidence from Taiwan," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 17(03), pages 1-27.
    21. Birru, Justin, 2018. "Day of the week and the cross-section of returns," Journal of Financial Economics, Elsevier, vol. 130(1), pages 182-214.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Blau, Benjamin M. & Wade, Chip, 2012. "Informed or speculative: Short selling analyst recommendations," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 14-25.
    2. Gao, Pengjie & Hao, Jia & Kalcheva, Ivalina & Ma, Tongshu, 2015. "Short sales and the weekend effect—Evidence from a natural experiment," Journal of Financial Markets, Elsevier, vol. 26(C), pages 85-102.
    3. Chen, Crystal Xiaobei & Rhee, S. Ghon, 2010. "Short sales and speed of price adjustment: Evidence from the Hong Kong stock market," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 471-483, February.
    4. Benjamin Blau & Chip Wade, 2013. "Comparing the information in short sales and put options," Review of Quantitative Finance and Accounting, Springer, vol. 41(3), pages 567-583, October.
    5. Blau, Benjamin M. & Van Ness, Bonnie F. & Van Ness, Robert A., 2009. "Information and trade sizes: The case of short sales," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(4), pages 1371-1388, November.
    6. Meher Shiva Tadepalli & Ravi Kumar Jain, 2018. "Persistence of calendar anomalies: insights and perspectives from literature," American Journal of Business, Emerald Group Publishing Limited, vol. 33(1/2), pages 18-60, May.
    7. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, January.
    8. Lecce, Steven & Lepone, Andrew & McKenzie, Michael D. & Segara, Reuben, 2012. "The impact of naked short selling on the securities lending and equity market," Journal of Financial Markets, Elsevier, vol. 15(1), pages 81-107.
    9. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 2001. "Dangers of data mining: The case of calendar effects in stock returns," Journal of Econometrics, Elsevier, vol. 105(1), pages 249-286, November.
    10. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 1998. "The dangers of data-driven inference: the case of calender effects in stock returns," LSE Research Online Documents on Economics 119142, London School of Economics and Political Science, LSE Library.
    11. Benjamin Blau, 2013. "Informed short sales and option introductions," Annals of Finance, Springer, vol. 9(3), pages 365-382, August.
    12. Satish K. Mittal & Sonal Jain, 2009. "Stock Market Behaviour: Evidences from Indian Market," Vision, , vol. 13(3), pages 19-29, July.
    13. Kohers, Theodor & Patel, Jayen B., 1996. "An examination of the day-of-the-week effect in junk bond returns over business cycles," Review of Financial Economics, Elsevier, vol. 5(1), pages 31-46.
    14. 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.
    15. Chen, Gongmeng & Kwok, Chuck C. Y. & Rui, Oliver M., 2001. "The day-of-the-week regularity in the stock markets of China," Journal of Multinational Financial Management, Elsevier, vol. 11(2), pages 139-163, April.
    16. Benjamin Blau & Tyler Brough, 2015. "Are put-call ratios a substitute for short sales?," Review of Derivatives Research, Springer, vol. 18(1), pages 51-73, April.
    17. Benjamin Blau & Kathleen Fuller & Chip Wade, 2015. "Short Selling and Price Pressure Around Merger Announcements," Journal of Financial Services Research, Springer;Western Finance Association, vol. 48(2), pages 143-160, October.
    18. Hanauer, Matthias X. & Lesnevski, Pavel & Smajlbegovic, Esad, 2023. "Surprise in short interest," Journal of Financial Markets, Elsevier, vol. 65(C).
    19. Blau, Benjamin M. & Pinegar, J. Michael, 2013. "Are short sellers incrementally informed prior to earnings announcements?," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 142-155.
    20. Paweł Strawiński & Robert Ślepaczuk, 2008. "Analysis of HF data on the WSE in the context of EMH," Working Papers 2008-08, Faculty of Economic Sciences, University of Warsaw.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:finmgt:v:38:y:2009:i:3:p:603-630. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/fmaaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.