Short Sales and the Weekend Effect - Evidence from a Natural Experiment

  title={Short Sales and the Weekend Effect - Evidence from a Natural Experiment},
  author={Pengjie Gao and Jia Hao and Ivalina Kalcheva and Tongshu Ma},
  journal={Capital Markets: Asset Pricing \& Valuation},
  • P. Gao, Jia Hao, +1 author T. Ma
  • Published 10 July 2012
  • Economics
  • Capital Markets: Asset Pricing & Valuation
Price pressure induced by the short-seller׳s systematic unwinding and rewinding short positions around the weekend allegedly contributes to the weekend effect. On the Hong Kong Stock Exchange, short-selling was prohibited before 1994 and was allowed only for some stocks after 1994. Exploiting this natural experiment, we find a strong weekend effect during the pre-1994 period and during the post-1994 period for both stocks that are allowed to be sold short and those that are not. Moreover, the… Expand
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  • S. Sharif
  • Business
  • Journal of Independent Studies and Research-Management, Social Sciences and Economics
  • 2019
INTRODUCTION Saqib Sharif 1 1Department of Finance, Institute of Business Administration (IBA), Main Campus, Karachi. Email: Researchers have investigated the stock market calendarExpand


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