Joshi, Nayan and Bhattarai, Ram Chandra (2007): Stock returns and economically neutral behavioral variables: evidence from the Nepalese stock market. Published in: Economic Review : Occasiona Paper of Nepal Rastra Bank , Vol. 19, (April 2007): pp. 43-57.
Download (400kB) | Preview
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.
|Item Type:||MPRA Paper|
|Original Title:||Stock returns and economically neutral behavioral variables: evidence from the Nepalese stock market|
|Keywords:||Economically Neutral Behavioural Variables, SAD, Weather Effect|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General
C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
|Depositing User:||Nayan Joshi|
|Date Deposited:||26. Nov 2010 20:10|
|Last Modified:||31. Dec 2015 00:12|
Cao, M., and J. Wei. 2004. “Stock Market Returns: A Temperature Anomaly.” Working Paper. Available in: http:// www.ssrn.com.
Cao, M., and J. Wei. 2005. “An Expanded Study on the Stock Market Temperature Anomaly.” Working Paper. Available in: http:// www.ssrn.com
Chordia, T., A. Subrahmanyam, and R. Anshuman. 2001. “Trading Activity and Expected Stock Returns.” Journal of Financial Economics, 59.
Dichev, I.D., and T.D. Janes. 2001. “Lunar Cycle Effects in Stock Returns.” Working Paper. University of Michigan Business School. Available in: http:// www.ssrn.com
Edmans, A., D.Garcia, and Ø. Norli. 2006. “Sports Sentiment and Stock Returns” [Electronic Version]. Forthcoming in The Journal of Finance. Available in: http:// www.ajof.org
Fama, E.F. 1970. “Efficient Capital Markets: A Review of Theory and Empirical Work.” The Journal of Finance, 25(2): 383-417.
Fama, E.F. 1991. “Efficient Capital Markets: II.” The Journal of Finance, 46 (5): 1575 - 1617.
Frieder, L and A. Subrahmanyam. 2001. “Non-Secular Regularities in Stock Returns: The Impact of the High Holy Days on the U.S. Equity Market.” Working Paper. Available in: http:// www.ssrn.com
Garrett, I., M.J. Kamstra, and L.A. Kramer. 2004. “Winter Blues and Time Variation in the Price of Risk.” Working Paper. Available in: http:// www.ssrn.com
Goetzman, W.N., and N. Zhu. 2002. “Rain or Shine: Where is the Weather Effect?” Working Paper. Available in: http:// www.ssrn.com
Hirshleifer, D., and T. Shumway .2003. “Good Day Sunshine: Stock Returns and the Weather.” The Journal of Finance, 58(3): 1009-1032.
Jacobsen, B., and W. Marqering . 2004. “Is it the Weather?” Working Paper. Available in: http:// www.ssrn.com
Joshi, N.K., and F.B. K.C. 2005. “The Nepalese Stock Market: Efficiency and Calendar Anomalies.” Economic Review: Occasional Paper, 17: 40-85.
Joshi, N.K. 2006. “Day-of-the-Week Effect: Is it an Industry Specific Phenomenon?” The Economic Journal of Nepal, 29(1): 1-12.
Kamstra, M. J., L.A. Kramer, and M.D. Levi. 2000. “Losing Sleep at the Market: The Daylight-Savings Anomaly.” American Economic Review, 90(4):1005-1011.
Kamstra, M. J., L.A. Kramer, and M.D. Levi. 2003. “Winter Blues: A SAD Stock Market Cycle.” American Economic Review, 93(1): 324-343.
Keller, M.C., B.L. Fredrickson, O. Ybarra, S. Cote, K. Johnson, J. Mikles, et al. 2005. “A Warm Heart and a Clear Head: The Contingent Effects of Weather on Mood and Cognition.” Psychological Science, 16(9):724-731.
Kelly, P.A., and J.F. Meschke. 2005. “Event-induced Sentiment and Stock Returns.” Working Paper Available in: http:// www.ssrn.com
Loughran, T. and P. Schultz. 2003. “Weather, Stock Returns, and the Impact of Localized Trading Behavior.” Working Paper. Available in: http:// www.ssrn.com
Magnusson, A. 2000. “An Overview of Epidemiological Studies on Seasonal Affective Disorder.” Acta Psychiatrica Scandinavica, 101, 176-184.
Nepal NEPSE Stock Index. (n.d.). Available in: http:// www. globalfinancialdata.com
Pardo, A., and E. Valor. 2003. “Spanish Stock Returns: Rational or Weather Influenced?” Working paper. Universidad de Valancia. Available in: http:// www.ssrn.com
Persinger, M.A. 1980. “The Weather Matrix and Human Behavior.” New York: Praeger Press.
Saunders, E. M. 1993. “Stock Prices and Wall Street Weather.” American Economic Review, 83(5): 1337-1345.
Theissen, E. 2003. “An Analysis of Private Investors’ Stock Market Return Forecasts .Working Paper. Available in: http:// www.ssrn.com
Tufan, D.E., and B. Hamarat. 2003. “Weather Effect: An Evidence from Turkish Stock Exchange.” Working paper. Available in: http:// www.ssrn.com
Watson, D. 2000. “Mood and temperament.” New York: Guilford Press.
Yuan, K., L. Zheng, and Q. Zhu .2001. “Are Investors Moonstruck? Lunar Phases and Stock Returns.” Working Paper. Available in: http:// www.ssrn.com