Asymmetric Volatility in Nepalese Stock Market

Journal of Comparative International Management, Vol 22(1)

37 Pages Posted: 4 Dec 2020

See all articles by Dinesh Gajurel

Dinesh Gajurel

University of New Brunswick - Fredericton; University of Tasmania, Tasmanian School of Business and Economics; Financial Research Network (FIRN)

Date Written: 2019

Abstract

This paper investigates the asymmetric volatility behavior of Nepalese stock market including the spillover effects from the US and Indian equity markets. We model asymmetric volatility within generalized autoregressive conditional heteroscedasticity framework using a comprehensive data for Nepal stock market index. The results reveal a very different asymmetry compared to the results in other international equity markets: positive shocks increase volatility by more than negative shocks. Our results further suggest that uninformed investors play a significant role in Nepalese stock market. The spillover effect from the Indian stock market to Nepalese stock market is negative. Overall, we conclude that a “fear of missing out” (FOMO) of noise traders as well as the deployment of pump and dump schemes are inherent features of the Nepalese stock market. The findings are very useful to policy makers and investors alike.

Keywords: Asymmetric Volatility, Nepal Stock Exchange

JEL Classification: G10, G14, G15

Suggested Citation

Gajurel, Dinesh and Gajurel, Dinesh, Asymmetric Volatility in Nepalese Stock Market (2019). Journal of Comparative International Management, Vol 22(1), Available at SSRN: https://ssrn.com/abstract=3709305 or http://dx.doi.org/10.2139/ssrn.3709305

Dinesh Gajurel (Contact Author)

University of New Brunswick - Fredericton ( email )

Bailey Drive
P.O. Box 4400
Fredericton, New Brunswick
Canada

HOME PAGE: http://unb.ca/fredericton/business

University of Tasmania, Tasmanian School of Business and Economics ( email )

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French Street, Sandy Bay
Hobart, Tasmania 7001
Australia

HOME PAGE: http://www.utas.edu.au/economics-finance/

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

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