Abstract
Chen and Singal (2003a) contend that short-sellers create pervasive temporary price pressure and are responsible for the weekend effect. We do not find support for this hypothesis on the Stock Exchange of Hong Kong (SEHK). On the SEHK, short-selling was prohibited before 1994 and was allowed only for some stocks after 1994. We find strong weekend effect for the pre-1994 period. For the post-1994 period, strong weekend effects are present for both the stocks that were allowed to short-sell and those that were not. Moreover, the difference in the weekend effects between the two groups is statistically insignificant.
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