Stock Market Efficiency in Nepal: A Variance Ratio Test

Ph.D. Jeetendra Dangol ()
Additional contact information
Ph.D. Jeetendra Dangol: School of Management, Tribhuvan University

NRB Economic Review, 2016, vol. 28, issue 2, 61-74

Abstract: The paper examines random-walk behaviour and weak-form market efficiency on daily and weekly market returns of All Share Price Index and nine sectoral indices in the Nepal Stock Exchange (NEPSE) using Lo and MacKinlay (1988) variance-ratio tests and corrected data as suggested by Miller et al. (1994). The study finds that the random-walk hypothesis is strongly rejected for weekly indices of the observed and corrected returns. It shows that market participants have opportunities to predict future price and earn abnormal returns from the Nepalese stock market. Whereas, overall and development banking sectors support the random-walk hypothesis in daily observed and corrected returns. It indicates that technical analysis may not be fruitful to earn excess returns in overall and development banking sectors.

Keywords: Market efficiency; Random-walk; Variance ratio (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.nrb.org.np/contents/uploads/2019/12/5.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nrb:journl:v:28:y:2016:i:2:p:61

Access Statistics for this article

More articles in NRB Economic Review from Nepal Rastra Bank, Economic Research Department Contact information at EDIRC.
Bibliographic data for series maintained by Publication Division NRB ().