ANAMOLIES IN

STOCK RETURN:
NATIONAL &
INTERNATIONAL
GROUP 1

MARKET HEZRON BISHWOKARMA

ADITYA KUMAR JHA
ANKIT POKHAREL
SAJAL SHRESTHA
INTERNATIONAL MARKET
DAYS OF THE WEEK EFFECT: ANAMOLIES SHOW

LOWEST & NEGATIVE RETURN ON MONDAY AND TUESDAY IN VARIOUS MARKETS

RETURNS ARE LARGE IN FRIDAYS

VARIANCE OF STOCK RETURN IS HIGHEST ON MONDAY

VARIANCE OF STOCK RETURN IS LOWEST IN FRIDAY

EFFECTS EXISTS IN US, UK, JAPAN, CANADA AND AUSTRALIA STOCK

TURN OF THE MONTH EFFECT:

RETURNS ARE LARGE AT THE END OF THE MONTH AND LAST TRADING DAY.

REASON: GOOD NEWS IS PUBLISHED AT FIRST HALF OF THE MONTH INCREASING

THE PRICE IN LAST TRADING DAY AND BEGINNING OF THE MONTH.
DECEMBER END EFFECT/ HOLIDAY EFFECT:
PRE-HOLIDAY RETURNS HIGH AND INTER HOLIDAYS RETURN UNUSUALLY HIGH.

PRE-HOLIDAY EFFECT EXISTS IN US, UK, JAPAN, HONGKONG MARKETS

PRE-HOLIDAY EFFECT IS HIGH IN MORE DEVELOPED COUNTRIES.

PRE-HOLIDAY RETURNS EQUAL NINE TO FOURTEEN TIMES THE RETURNS

ACCRUING ON NON-PRE-HOLIDAY ON AVERAGE.

1972-1942(DOW JONES INDUSTRIAL AVERAGE), OBESERVED FREQUENT BULLISH

TENDENCIES FROM DECEMBER TO JANUARY IN ELEVEN OF THE FIFTEEN YEARS.
MONTH OF THE YEAR

RETURNS ARE LARGE IN JANUARY AND LOW IN DECEMBER

RELATED TO THE TAX LOSS HYPOTHESIS AND SUPPORT WINDOW DRESSING

HYPOTHESIS.
SMALL FIRM EFFECT:
THIS THEORY HOLDS SMALLER COMPANIES HAVE A GREATER AMOUNT OF
GROWTH OPPORTUNITIES THAN LARGER COMPANIES.

SMALL COMPANIES ARE NOT LOOKED UP BY INVESTORS SO, THIS STOCK IS LESS
LIQUID AND PRICE IS NOT DISCOVERED TO EQUILIBRIUM LEVEL.

SUCH LOW PRICED STOCKS CAN LEAD TO LARGE PRICE APPRECIATION THAN
LARGE CAP STOCKS.

RETURNS ARE HIGH OF LOW PRICED STOCKS THAN THAT OF HIGH CAP FIRMS.
REGIONAL EFFECT:
THE REGIONAL OR LOCATIONAL FACTOR OF THE FIRM HAS AN DIRECT IMPACT ON
THE RETURNS

INDIVIDUAL / PROFESSIONAL INVESTORS SHOW STRONG PREFERENCE TOWARDS

STOCKS OF FIRMS THAT ARE HEADQUARTERED IN SAME REGION.

HERE THE EFFECT OF WORD OF MOUTH EFFECT IS THERE IN THE TRADES

MONEY

INDIVIDUAL INVESTORS INFLUENCE EACH-OTHER IN THEIR INVESTMENTS

DECISIONS.
LUNAR / OTHER CALENDAR EFFECT:

SUNSHINE IS STRONGLY POSITIVELY CORRELATED WITH STOCK RETURNS.

EXISTING OF RETURNS DIFFERENCE BETWEEN THE FULLMOON AND THE NEW

MOON PHASES- CYCLICAL PATTERN ON STOCK RETURNS CORRESPONDS TO
LUNAR PHASES.

EG. STOCK RETURNS IN JAPAN INCREASING IN BUDDHAS ENTERING (NIRVANA)

DAY.
EVIDENCES FORM NEPALESE STOCK MARKET
DAY OF THE WEEK EFFECT:
DAILY NEPSE RETURNS ARE HIGHEST FOR FRIDAY WITH 0.GNIFICANT AT 10%.

NEPSE RETURNS ARE LOWEST FOR MONDAY WITH -0.04%.

DAILY STOCK RETURNS ARE NEGATIVE FOR ONLY MONDAY AND THURSDAY.

STOCK RETURNS ARE POSITIVE FOR EXCEPT MONDAY AND THURSDAY

THE RISK OF NEGATIVE RETURNS RISK IS HIGHER ON FRIDAY WITH 3.27% WHEREAS
LOWER FOR TUESDAY WITH 1.12%.

FOR EG. COMMERCIAL BANKING SECTOR OFFER HIGHEST AVERAGE DAILY STOCK
RETURNS OF 0.44% ON MONDAY AND VICE VERSA ON TUESDAY.

SIMILARLY HOTELS STOCK RETURNS AVERAGE ON SUNDAY AND VICE VERSA ON

MONTH END EFFECT (ENGLISH CALENDAR)
INTERESTING: AVERAGE DAILY RETURNS DURING DECEMBER TO MARCH IS
NEGATIVE AND POSITIVE FOR REST OF THE MONTHS.

AVERAGE DAILY RETURNS ARE SMALLER IN MONTH OF JANUARY AT -0.09% AND

HIGHER IN JULY WITH 0.16%

RETURNS IN AUGUST ARE RISKIER WITH A STANDARD DEVIATION OF 4.3% AND

LOWEST IN MONTH OF OCTOBER WITH 0.8%

STOCK RETURN IN JANUARY IS LOWEST AND HIGHEST IN JULY.

MONTH END EFFECT ( NEPALI CALENDAR)
HIGHEST DAILY RETURN (0.20%) WITH LOWER RISK (0.90%) ON MONTH OF
KARTIK.

DAILY RETURNS OF DIFFERENT MONTHS ARE NOT SIGNIFICANTLY DIFFERING

WITH EACH OTHER EXCEPT THE MONTH OF PAUSH AND FALGUN ( WHICH IS LOW)

DEVELOPMENT BANKING SECTOR SEEMS TO OFFER HIGHEST DAILY RETURNS OF

0.06% WITH 2.45% OF RISK.

FINANCE COMPANY IS POOR IN OFFERING DAILY AVERAGE RETURNS WITH -0.06%

WITH THE RISK OF 6.49%.

MOST SECTORS RETURN IS NOT DIFFERENT FROM MONTH TO MONTH EXCEPT

HYDRO SECTOR
LUNAR EFFECT:
NEPSE RETURN IS SLIGHTLY HIGH IN SUKLA PAKCHHA BUT NOT STATISTICALLY
SIGNIFICANT.

SUKLA PAKCHHA COFFICIENTS ARE HIGH FOR SIX SECTORIAL RETURNS WITH NO
STATISTICAL SIGNIFICANT.

ASWAIN KRISHNA PAKCHHA WHICH IS SIGNIFICANT AT 5% WITH NEGATIVE

COEFFICENT.
REGIONAL EFFECT:
RETURNS PROVIDED BY COMPANY OUTSIDE THE KATHMANDU VALLEY IS
SIGNIFICANTLY MORE AND RESULT IS ROBUST EVEN AFTER CONTROLLING BY
SIZE.

SEEMS LITTLE ATTENTION PAID TO SEASONAL AND REGIONAL EFFECT ON STOCK

RETURNS IN EMERGING EQUITY MARKETS.
HOLIDAY EFFECT (KARTIK EFFECT):

STOCK RETURNS OF STOCK ARE LOWER DURING PRE-DASHAIN PERIOD

( BECAUSE OF FESTIVE PREPARATION OF DASHAIN AND LONG HOLDING OF
STOCKS DURING THE HOLIDAYS.)
DIFFERENCE BETWEEN NEPALESE AND INTERNATIONAL MARKET:

JANUARY EFFECT

DASHAIN EFFECT

SMALL FIRM EFFECT

CONCLUSION:
INFORMATION ASYMMETRY IS A BIG PROBLEM THAT DISABLES EFFICIENT MARKET
IN NEPAL.

OTHER ANAMOLIES PRESENT IN NEPALESE MARKET REQUIRES FURTHER

RESEARCH LIKE LOW-PRICE EARNING RATIO, PRE-ANNOUNCEMENT DRIFTS, ETC.

EFFICIENT MARKET HYPOTHESIS DOESNT HOLD TRUE BECAUSE OF TECHNICAL

AND FUNDAMENTAL ANALYSIS BECOMING TRUE.

PRESENCE OF ANAMOLIES MIGHT BE AN OPPORTUNITY FOR THE INVESTORS TO

EARN PROFITS.
THANK
YOU