Short sales and the weekend effect-Evidence from a natural experiment
Publication in refereed journal


香港中文大学研究人员 ( 现职)

郝嘉教授 (金融学系)

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数位物件识别号 (DOI) ○○@http://aims.cuhk.edu.hk/converis/portal/Publication/2$@○○

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Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/2WOS source URL

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摘要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 difference in the weekend effects between the two groups is economically and statistically indistinguishable. These results are inconsistent with the above-mentioned hypothesis. Published by Elsevier B.V.

着者Gao PJ, Hao J, Kalcheva I, Ma TS
期刊名称Journal of Financial Markets
出版年份http://aims.cuhk.edu.hk/converis/portal/Publication/2015
月份11
日期1
卷号http://aims.cuhk.edu.hk/converis/portal/Publication/26
出版社ELSEVIER SCIENCE BV
页次85 - 10http://aims.cuhk.edu.hk/converis/portal/Publication/2
国际标準期刊号1386-4181
电子国际标準期刊号1878-576X
语言英式英语

关键词Hong Kong Stock Exchange; Short sale; Weekend effect
Web of Science 学科类别Business & Economics; Business, Finance