The Existence and Development of the Holiday Effect on the Nepalese Stock Market

Abstract

This paper examines the holiday effect on the Nepalese stock market over an 11-year period. A regression-based approach has been used to ascertain the presence of holiday effect in the Nepalese market. The 11-year data has also been divided into 2 subgroups of 5 years and 6 years to study how the holiday effect has changed over time. The pre-holiday effect could not be identified, but this study has revealed a negative post-holiday effect with increasing intensity dependent on consecutive holidays during the full sample period. Upon examining the two timeframes, it has been discovered that a strong pre-holiday effect existed in the prior periods, which has since diminished, and in the subsequent time periods a negative post-holiday effect with increasing intensity has been observed. This is indicative of the changing perception and behavior of investors in the 11-year period.