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Short Sale, Stock Liquidity, and the Day-of-the-Week Effect: Evidence from the Taiwan Stock Market

Author

Listed:
  • Zhaodan Huang

    (Department of Business and Economics, Utica College, 1600 Burrstone Road, Utica, NY, 13501, USA)

  • Ou Hu

    (Department of Economics, Youngstown State University, Youngstown, Ohio, 44555, USA)

  • Bih-Shuang Liao

    (Department of Insurance and Finance, Chihlee Institute of Technology, Taiwan)

Abstract

In this paper, we revisit the day-of-the-week effect by examining the Taiwan stock market. Based on the daily data from 1991 to 2008, our results show that the Taiwan stock market exhibits a strong day-of-the-week effect. In particular, the return on Tuesday is negative and significant from 1991 to 1997, and the returns on the weekend are positive and significant from 1991 to 1997 and from 2001 to 2008. In agreement with other studies, our results also show that the Tuesday's effect is weaker in recent years. In an attempt to explain the day-of-the-week effect, we demonstrate that short sales do not seem to play a significant role, which is contrary to the findings of Chen and Singal (2003) who study the US stock market. However, stock liquidity (measured by turnover ratio) seems to be related to the day-of-the-week effect in the Taiwan stock market.

Suggested Citation

  • Zhaodan Huang & Ou Hu & Bih-Shuang Liao, 2010. "Short Sale, Stock Liquidity, and the Day-of-the-Week Effect: Evidence from the Taiwan Stock Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 13(01), pages 71-90.
    • Handle: RePEc:wsi:rpbfmp:v:13:y:2010:i:01:n:s0219091510001871
    DOI: 10.1142/S0219091510001871
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    Cited by:

    1. Tsai, Chia-Fen & Chang, Jung-Hsien & Tsai, Feng-Tse, 2021. "Lottery preferences and retail short selling," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    2. 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.

    More about this item

    Keywords

    Short sales; stock liquidity; day-of-the-week effect;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

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