Short Selling and the Weekend Effect in Nasdaq Stock Returns |
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Authors: | Stephen E Christophe Michael G Ferri James J Angel |
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Institution: | George Mason University; George Mason University; Georgetown University |
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Abstract: | 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. |
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Keywords: | short sale speculative trading weekend effect |
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