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Volume 3 Number 2 February 2017

Weekend Effect and Short Sales: Evidence from Hong Kong


Authors: Jinghan Cai ; Jibao He ; Le Xia ; Weili Zhai
Pages: 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.