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Weekend Effect and Short Sales: Evidence from Hong Kong

Jinghan Cai, Jibao He, Le Xia and Weili Zhai
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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

International Journal of Economics and Financial Research, 2017, vol. 3, issue 2, 8-18

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.

Keywords: Short sales; Weekend effect; Hong Kong stock market. (search for similar items in EconPapers)
Date: 2017
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