Short Selling and the Weekend Effect in Nasdaq Stock Returns

被引：13
|
作者：
Christophe, Stephen [1 ]
Ferri, Michael [2 ]
Angel, James [3 ]
机构：
[1] George Mason Univ, Fairfax, VA 22030 USA
[2] George Mason Univ, Sch Management, MS 5F5, Fairfax, VA 22030 USA
[3] Georgetown Univ, Washington, DC 20057 USA
来源：
FINANCIAL REVIEW | 2009年 / 44卷 / 01期
关键词：
short sale; speculative trading; weekend effect;
D O I：
10.1111/j.1540-6288.2008.00209.x
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We examine daily short selling of Nasdaq stocks to explore whether speculative short selling causes a significant portion of the weekend effect in returns. We identify a weekend effect in speculative short selling whereby it constitutes a larger percentage of trading volume on Mondays versus Fridays. We find an opposite effect in dealer short selling, consistent with market makers adding liquidity and stability. Our main finding is that speculative short selling does not explain an economically meaningful portion of the weekend effect in returns, even among the firms most that are most actively shorted. This finding contradicts some prior studies.
引用
收藏
页码：31 / 57
页数：27
相关论文
共 50 条
12345