The Nepalese Stock Market: Efficient and Calendar Anomalies
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.
Volume (Year): 17 (2005)
Issue (Month): (April)
|Contact details of provider:|| Web page: http://www.nrb.org.np/ecorev/|
More information through EDIRC
References listed on IDEAS
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.:
- Jensen, Michael C., 1978. "Some anomalous evidence regarding market efficiency," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 95-101.
- Gibbons, Michael R & Hess, Patrick, 1981. "Day of the Week Effects and Asset Returns," The Journal of Business, University of Chicago Press, vol. 54(4), pages 579-96, October.
- Sidney B. Wachtel, 1942. "Certain Observations on Seasonal Movements in Stock Prices," The Journal of Business, University of Chicago Press, vol. 15, pages 184.
- Brown, Philip & Keim, Donald B. & Kleidon, Allan W. & Marsh, Terry A., 1983. "Stock return seasonalities and the tax-loss selling hypothesis : Analysis of the arguments and Australian evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 105-127, June.
- Penman, Stephen H., 1987. "The distribution of earnings news over time and seasonalities in aggregate stock returns," Journal of Financial Economics, Elsevier, vol. 18(2), pages 199-228, June.
- Taufiq Choudhry, 2000. "Day of the week effect in emerging Asian stock markets: evidence from the GARCH model," Applied Financial Economics, Taylor & Francis Journals, vol. 10(3), pages 235-242.
- Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
- Kemp, Alexander G & Reid, Gavin C, 1971. "The Random Walk Hypothesis and the Recent Behaviour of Equity Prices in Britain," Economica, London School of Economics and Political Science, vol. 38(149), pages 28-51, February.
- Chang, Eric C. & Pinegar, J. Michael & Ravichandran, R., 1993. "International Evidence on the Robustness of the Day-of-the-Week Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(04), pages 497-513, December.
- Marshall Blume & Robert Stambaugh, . "Biases in Computed Returns: An Application to the Size Effect (Revision of 2-83)," Rodney L. White Center for Financial Research Working Papers 11-83, Wharton School Rodney L. White Center for Financial Research.
- James M. Poterba & Scott J. Weisbenner, 1998.
"Capital Gains Tax Rules, Tax Loss Trading and Turn-of-the-Year Returns,"
NBER Working Papers
6616, National Bureau of Economic Research, Inc.
- James M. Poterba, 2001. "Capital Gains Tax Rules, Tax-loss Trading, and Turn-of-the-year Returns," Journal of Finance, American Finance Association, vol. 56(1), pages 353-368, 02.
- Rozeff, Michael S. & Kinney, William Jr., 1976. "Capital market seasonality: The case of stock returns," Journal of Financial Economics, Elsevier, vol. 3(4), pages 379-402, October.
- Pettengill, Glenn N, 1989. "Holiday Closings and Security Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(1), pages 57-67, Spring.
- Ariel, Robert A, 1990. " High Stock Returns before Holidays: Existence and Evidence on Possible Causes," Journal of Finance, American Finance Association, vol. 45(5), pages 1611-26, December.
- Lakonishok, Josef & Levi, Maurice, 1982. " Weekend Effects on Stock Returns: A Note," Journal of Finance, American Finance Association, vol. 37(3), pages 883-89, June.
- Keim, Donald B., 1983. "Size-related anomalies and stock return seasonality : Further empirical evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 13-32, June.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
- Officer, R. R., 1975. "Seasonality in Australian capital markets : Market efficiency and empirical issues," Journal of Financial Economics, Elsevier, vol. 2(1), pages 29-51, March.
- Lauterbach, Beni & Ungar, Meyer, 1995. "Real vs. nominal stock return seasonalities: empirical evidence," International Review of Economics & Finance, Elsevier, vol. 4(2), pages 133-147.
- Wang, Ko & Li, Yuming & Erickson, John, 1997. " A New Look at the Monday Effect," Journal of Finance, American Finance Association, vol. 52(5), pages 2171-86, December.
- Pandey I M, . "Is There Seasonality in the Sensex Monthly Returns?," IIMA Working Papers WP2002-09-08, Indian Institute of Management Ahmedabad, Research and Publication Department.
- Cadsby, Charles Bram & Ratner, Mitchell, 1992. "Turn-of-month and pre-holiday effects on stock returns: Some international evidence," Journal of Banking & Finance, Elsevier, vol. 16(3), pages 497-509, June.
- Blume, Marshall E. & Stambaugh, Robert F., 1983. "Biases in computed returns : An application to the size effect," Journal of Financial Economics, Elsevier, vol. 12(3), pages 387-404, November.
- Jaffe, Jeffrey & Westerfield, Randolph, 1989. "Is there a monthly effect in stock market returns? : Evidence from foreign countries," Journal of Banking & Finance, Elsevier, vol. 13(2), pages 237-244, May.
- Agrawal, Anup & Tandon, Kishore, 1994. "Anomalies or illusions? Evidence from stock markets in eighteen countries," Journal of International Money and Finance, Elsevier, vol. 13(1), pages 83-106, February.
- Branch, Ben, 1977. "A Tax Loss Trading Rule," The Journal of Business, University of Chicago Press, vol. 50(2), pages 198-207, April.
When requesting a correction, please mention this item's handle: RePEc:nrb:journl:v:17:y:2005:p:40-85. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dr. Bishnu Prasad Gautam)
If references are entirely missing, you can add them using this form.