The Nepalese Stock Market: Efficiency and Calendar Anomalies

Economic Review, Vol. 17, No. 17

37 Pages Posted: 16 Jun 2005

See all articles by Nayan Krishna Joshi

Nayan Krishna Joshi

Wayne State University - Department of Economics

Fatta Bahadur K.C.

Tribhuvan University

Abstract

After describing the various forms of efficiency and calendar anomalies observed in many developed and emerging markets according to the existing literature, the present study examines this phenomenon empirically in the Nepalese stock market for daily data of Nepal Stock Exchange Index from February 1, 1995 to December 31, 2004 covering approximately ten years.

Using regression model with dummies, we find persistent evidence of day-of-the-week anomaly but disappearing holiday effect, turn-of-the-month effect and time-of-the-month effect. We also document no evidence of month-of-the-year anomaly and half-month effect. Our result for the month-of-the-year anomaly is consistent to the finding observed for the Jordanian stock market and that for the day-of-the-week anomaly to the Greek stock market. In addition, our finding regarding half-month effect is consistent with the US market. For the rest, we find inconsistent results with that in the international markets. Our results indicate that the Nepalese stock market is not efficient in weak form with regard to the day-of-the-week anomaly but weakly efficient with respect to the other anomalies.

Keywords: Market efficiency, seasonal anomalies, tax-loss selling hypothesis, institutional window dressing hypothesis, information hypothesis

JEL Classification: C12, G14, C22

Suggested Citation

Joshi, Nayan Krishna and K.C., Fatta Bahadur, The Nepalese Stock Market: Efficiency and Calendar Anomalies. Economic Review, Vol. 17, No. 17, Available at SSRN: https://ssrn.com/abstract=743666

Nayan Krishna Joshi (Contact Author)

Wayne State University - Department of Economics ( email )

656 W. Kirby
Detroit, MI 48202
United States

Fatta Bahadur K.C.

Tribhuvan University ( email )

Kathmandu, Bagmati 44600
Nepal

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
1,000
Abstract Views
6,521
Rank
43,255
PlumX Metrics