Stock Returns and Economically Neutral Behavioural Variables: Evidence from the Nepalese Stock Market
AbstractThis article investigates whether or not the Nepalese stock market is efficient in weak form with respect to economically neutral behavioural variables. Simple OLS technique with White’s heteroskedasticity-corrected standard errors is used to test the relationship between stock returns and economically neutral behavioural variables represented by weather (cloud cover and temperature) and biorhythms (seasonal affective disorder). The findings indicate the existence of weak-form efficiency in the market for “temperature” and “seasonal affective disorder” but not for the “cloud cover”. These findings are not consistent to those of results documented for developed and emerging stock markets.
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Bibliographic InfoArticle provided by Nepal Rastra Bank, Research Department in its journal NRB Economic Review.
Volume (Year): 19 (2007)
Issue (Month): (April)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Saunders, Edward M, Jr, 1993. "Stock Prices and Wall Street Weather," American Economic Review, American Economic Association, vol. 83(5), pages 1337-45, December.
- Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
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