Role of Speculative Short Sales in Price Formation: The Case of the Weekend Effect  

Oleh:

Honghui, Chen ; Singal, Vijay

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 58 no. 2 (Apr. 2003), page 685-705.
Fulltext: p 685.pdf (167.21KB)

Isi artikel

We argue that short sellers a¡ect prices in a signi¢cant and systematic manner. In particular, we contend that speculative short sales contribute to the weekend e¡ect:The inability to trade over the weekend is likely to cause these short sellers to close their speculative positions on Fridays and reestablish new short positions on Mondays causing stock prices to rise on Fridays and fall onMondays.We ¢nd evidence in support of this hypothesis based on a comparison of high short-interest stocks and low short-interest stocks, stocks with and without actively traded options, IPOs, zero short-interest stocks, and highly volatile stocks.

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