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

Kazemi, Hossein S. and Zhai, Weili and He, Jibao and Cai, Jinghan (2013): Stock Market Volatility, Speculative Short Sellers and Weekend Effect: International Evidence. Published in: Journal of Financial Risk Management , Vol. Vol.2, No. 2013. No. 3 : pp. 47-54.

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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.

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  • Kazemi, Hossein S. and Zhai, Weili and He, Jibao and Cai, Jinghan Stock Market Volatility, Speculative Short Sellers and Weekend Effect: International Evidence. (deposited 08 Mar 2014 10:16) [Currently Displayed]
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