Jinghan Cai, Hossein S. Kazemi, Jibao He, Weili Zhai[1]
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 providing evidence from 60 market indices. We find strong evidence that the acts of short sellers can well explain the weekend effect before one decade or so. However, recently the relationship between the short sales and weekend effects are gradually dissipating in developed markets, probably due to the cross-market hedges of short sellers. These findings strongly support, rather than weaken, the Chen and Singal (2003) hypothesis.
Keywords: Weekend effect, short sales, market anomaly
JEL code: G11, G15
[1] Jinghan Cai is from Department of Economics, Boston College, address: 140 Commonwealth Avenue, Chestnut Hill, MA 02467, U.S.A. Tel: 617-552-6744, email: caijd@bc.edu; Hossein Kazemi is Associate Professor of Economics from Stonehill College and also on the faculty of Boston College and Harvard University; Jibao He is from Research Institute, Shenzhen Stock Exchange, address: Futian District, Hongli(w) Rd, Shangbu Industry Zone, Shenzhen, 518028, China; Tel(86)755-83254246, Email: jbhe@szse.cn; Weili Zhai is from Department of Finance, Shenzhen University, Address:3688 NanHai Rd,Nanshan District,Shenzhen,518060,China; Tel: (86)755-26733256; Email: zhaiweili2006@126.com. Jibao He thanks for financial support from NSFC Project: 71172226/G0206.