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

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  • Kazemi, Hossein S.
  • Zhai, Weili
  • He, Jibao
  • Cai, Jinghan

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.

Suggested Citation

  • Kazemi, Hossein S. & Zhai, Weili & He, Jibao & Cai, Jinghan, 2013. "Stock Market Volatility, Speculative Short Sellers and Weekend Effect: International Evidence," MPRA Paper 54185, University Library of Munich, Germany, revised 15 Jul 2013.
    • Handle: RePEc:pra:mprapa:54185
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    References listed on IDEAS

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    Cited by:

    1. Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun & Inna Makarenko, 2014. "The Weekend Effect: A Trading Robot and Fractional Integration Analysis," Discussion Papers of DIW Berlin 1386, DIW Berlin, German Institute for Economic Research.
    2. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Alex Plastun, 2016. "The weekend effect: an exploitable anomaly in the Ukrainian stock market?," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 43(6), pages 954-965, November.

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    More about this item

    Keywords

    Weekend Effect; Short Sales; Market Anomaly; Stock Market Volatility;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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