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

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Department of Finance, Shenzhen University, Shenzhen, China.
Department of Economics, Stonehill College, Easton, USA.
Shenzhen Stock Exchange, Shenzhen, China.
Department of Economics, Boston College, Boston, USA.
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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 effect. Recently, however, the relationship between short sales and the weekend effect is 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 hypothesis.

Keywords: Weekend Effect; Short Sales; Market Anomaly; Stock Market Volatility

Cite this paper: Zhai, W. , Kazemi, H. , He, J. & Cai, J. (2013). Stock Market Volatility, Speculative Short Sellers and Weekend Effect: International Evidence. Journal of Financial Risk Management, 2, 47-54. doi: 10.4236/jfrm.2013.23008.

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