Stock Market Volatility, Speculative Short Sellers and Weekend Effect: International Evidence

Hossein Kazemi, Weili Zhai, Jibao He and Jinghan Cai

MPRA Paper from University Library of Munich, Germany

Abstract: 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, by examining evidence from 60 market indices. We find strong evidence that, until about a decade ago, the actions of short sellers could explain the weekend ef- fect. Recently, however, the relationship between short sales and the weekend effect is gradually dissi- pating in developed markets, probably due to the cross-market hedges of short sellers. These findings strongly support, rather than weaken, the Chen and Singal hypothesis.

Keywords: Weekend Effect; Short Sales; Market Anomaly; Stock Market Volatility (search for similar items in EconPapers)
JEL-codes: G1 G14 G15 G17 (search for similar items in EconPapers)
Date: 2013-07-22, Revised 2013-07-15
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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