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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.



Item Type: MPRA Paper -

Commentary on: Eprints 0 not found.-

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

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

Language: English-

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

Subjects: G - Financial Economics > G1 - General Financial MarketsG - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider TradingG - Financial Economics > G1 - General Financial Markets > G15 - International Financial MarketsG - Financial Economics > G1 - General Financial Markets > G17 - Financial Forecasting and Simulation-





Autor: Kazemi, Hossein S.

Fuente: https://mpra.ub.uni-muenchen.de/54185/







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