Global Statistics

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Updated on June 6, 2023 12:18 pm
All countries
Updated on June 6, 2023 12:18 pm
All countries
Updated on June 6, 2023 12:18 pm

Asymmetric Volatility in Nepalese Stock Market

This paper delves into the study of asymmetric volatility behavior in the stock market, examining the spillover effects from the US and . To accomplish this, we employ a generalized autoregressive conditional heteroscedasticity framework to model the asymmetric volatility, utilizing comprehensive from the Nepal stock market index.

The results of our reveal a distinct pattern of asymmetry, setting it apart from other international equity markets. Specifically, contribute to a greater increase in volatility compared to negative shocks. Furthermore, our findings indicate that uninformed investors hold a significant within the Nepalese stock market.

Examining the spillover effects, we observe a negative impact from the Indian stock market on the Nepalese stock market. Overall, our conclusions highlight the of a “fear of missing out” (FOMO) among noise traders, as well as the of pump and dump schemes as inherent characteristics of the Nepalese stock market.

The insights gained from this study hold considerable for policy makers and investors alike, providing them with valuable information for decision- purposes.

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