Say company A intends to own a particular stock over a long period. The speculator sells the stock, then borrows it from company A. At some later time, perhaps immediately, he buys the stock from company C, which has owned it for a long time (so it is allowed to sell it now). It's true that the investor can't sell the newly acquired share again for four weeks (say), but so what? He keeps it until company A demands it back, or else he gives it back to company A straightaway. Since company A intends to keep the stock for a long period anyway, the inconvenience of not being able to sell within the current month is meaningless to it. And even in the contrary case, suppose company A actually wants to sell the share within the month. An equivalent transaction could be performed using an appropriate derivative.

In fact, with the appropriate derivatives, one could simulate a stock market without the holding period restriction on top of the real stock market which has the restriction. An outside observer would see shares being exchanged every day, but the actual shares involved would be choreographed so that each share gets bought/sold at four week intervals.

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$E(X_t|F_s) = X_s,\quad t > s$