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Stock returns and economically neutral behavioral variables: evidence from the Nepalese stock market

Author

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  • Joshi, Nayan
  • Bhattarai, Ram Chandra

Abstract

This article investigates whether 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.

Suggested Citation

  • Joshi, Nayan & Bhattarai, Ram Chandra, 2007. "Stock returns and economically neutral behavioral variables: evidence from the Nepalese stock market," MPRA Paper 27000, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:27000
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    File URL: https://mpra.ub.uni-muenchen.de/27000/1/MPRA_paper_27000.pdf
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    References listed on IDEAS

    as
    1. Lisa A. Kramer & Mark J. Kamstra & Maurice D. Levi, 2000. "Losing Sleep at the Market: The Daylight Saving Anomaly," American Economic Review, American Economic Association, vol. 90(4), pages 1005-1011, September.
    2. Frieder, Laura & Subrahmanyam, Avanidhar, 2001. "Non-Secular Regularities in Stock Returns: The Impact of the High Holy Days on the U.S. Equity Market, Forthcoming in the Financial Analysts Journal," University of California at Los Angeles, Anderson Graduate School of Management qt8jb1q6z6, Anderson Graduate School of Management, UCLA.
    3. Saunders, Edward M, Jr, 1993. "Stock Prices and Wall Street Weather," American Economic Review, American Economic Association, vol. 83(5), pages 1337-1345, December.
    4. Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi, 2003. "Winter Blues: A SAD Stock Market Cycle," American Economic Review, American Economic Association, vol. 93(1), pages 324-343, March.
    5. Fama, Eugene F, 1991. "Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
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    Cited by:

    1. Kelly, Patrick J. & Meschke, Felix, 2010. "Sentiment and stock returns: The SAD anomaly revisited," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1308-1326, June.

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    More about this item

    Keywords

    Economically Neutral Behavioural Variables; SAD; Weather Effect;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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