Open AccessMonth-of-the-year Effects in Nepalese Stock Market
Author(s) -
Shanta Maharjan
Publication year - 2018
Publication title -
pyc nepal journal of management/pyc nepal journal of management
Language(s) - English
Resource type - Journals
eISSN - 2738-9847
pISSN - 2091-0258
DOI - 10.3126/pycnjm.v11i1.35919
Subject(s) - stock market , composite index , stock (firearms) , january effect , stock market index , economics , geography , demography , econometrics , composite indicator , sociology , context (archaeology) , archaeology
The study investigates the month-of-the-year effects in Nepalese stock market employing composite index along with other nine sub-indices between mid-July 17, 2007 and mid-July 15, 2017. The study finds statistically significant highest average monthly returns in the month of Ashad (mid-June - mid-July) among other eleven months. On contrary, the significantly negative return is found in the month of Bhadra (mid-August - mid-September). It indicates that the Nepalese stock market has specific returns patterns showing inefficient in weak-form of market efficiency.