DISTRIBUTION NATURE OF RETURN FROM NEPALESE STOCK MARKET
الموضوعات :
Rashesh Vaidya
1
,
Jeetendra Dangol
2
,
Dilliraj Sharma
3
1 - Tribhuvan University
2 - Tribhuvan University
3 - Tribhuvan University
الکلمات المفتاحية: distribution nature of return, stock market, efficient market, Nepalese,
ملخص المقالة :
The fitting of the return on normal distribution could lead to predicting the market trend with the help of only two parameters, i.e., mean and standard deviation for the stock or market return. The return from the major indices and sub-indices of different sectors listed in Nepalese secondary market, Nepal Stock Exchange Limited (NEPSE) were fitted on the probability distribution function (pdf) to determine the best-fitted distribution for the returns. The paper used the return data from the Nepalese stock market indices to fit the distribution nature of the return. The Kolmogorov-Smirnov Test (K-S Test) has been used in a work to objectively confirm the statistical fit between an observed sample and a theoretical probability distribution. Concurrently, the study employed the Anderson-Darling Test (A2 Test) to determine if a particular data sample is representative of a certain probability distribution. The paper found only the daily return from the Nepalese stock market fit for normal distribution while most of the sector-wise returns best fit the distribution related to extreme value theory.
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