We thank Andriy Shkilko, Richard Warr, and seminar participants at the University of Mississippi, Wilfrid Laurier University, and the 2007 Eastern Finance Association Meeting for helpful comments. We also thank an anonymous referee for insightful comments and suggestions. All errors are the responsibility of the authors.
Short Selling and the Weekend Effect for NYSE Securities
Version of Record online: 2 SEP 2009
© 2009 Financial Management Association International
Volume 38, Issue 3, pages 603–630, Autumn 2009
How to Cite
Blau, B. M., Van Ness, B. F. and Van Ness, R. A. (2009), Short Selling and the Weekend Effect for NYSE Securities. Financial Management, 38: 603–630. doi: 10.1111/j.1755-053X.2009.01049.x
- Issue online: 2 SEP 2009
- Version of Record online: 2 SEP 2009
Using short-sale transactions data, we examine the relation between short selling and the weekend effect. We do not find that short selling is more abundant on Monday than on Friday, even for stocks that have higher Friday returns. We find that short sellers execute more short-sale volume during the middle of the week, and that the positive correlation between short selling and returns on Monday is greater, on average, than the correlation on the other days of the week. Our results are robust to subsamples of stocks with larger weekend effects and stocks that do not have listed options.