RESEARCH NOTE Weekend Effect and Short Sales: International Evidence Jinghan Cai & Hossein S. Kazemi & Jibao He & Weili Zhai Published online: 5 March 2013 # International Atlantic Economic Society 2013 JEL G11 . G15 The research of the weekend effect has been widespread for several decades. The earliest research is generally considered to focus on the works of French (French, K., Journal of Financial Economics, 1980) and Gibbons and Hess (Gibbons, M., and P. Hess, Journal of Business, 1981). These papers study the S&P 500 Index and CRSP value- and equally-weighted indexes for NYSE and AMEX securities respectively. Later research has provided evidence of the existence of weekend effect all over the world. For example, Hindmarch et al. (Hindmarch, S., D. Jentsch, and D. Drew, Journal of Business Administration, 1984) found a weekend effect in the Canadian market. Jaffe and Westerfield (Jaffe, J., and R. Westerfield, Journal of Finance, 1985) found weekday effects similar to those in the U.S. market for the Canadian, British, Japanese, and Australian equity markets. Int Adv Econ Res (2013) 19:209–211 DOI 10.1007/s11294-013-9398-z Presented at: The 74th International Atlantic Economic Conference, Montreal, Canada, October 2012 Jibao He acknowledges financial support from NSFC Project: 71172226/G0206 J. Cai Department of Economics, Boston College, Chestnut Hill, MA 02467, USA e-mail: caijd@bc.edu H. S. Kazemi (*) Stonehill College, Easton, MA 02357, USA e-mail: kazemi@stonehill.edu J. He Research Institute, Shenzhen Stock Exchange, Futian District, Hongli(w) Rd, Shangbu Industry Zone, Shenzhen 518028, China e-mail: jbhe@szse.cn W. Zhai Department of Finance, Shenzhen University, 3688 NanHai Rd, Nanshan District, Shenzhen 518060, China e-mail: zhaiweili2006@126.com