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Article 1 - Seasonal Anomalies in the Nepal Stock Exchange: Evidence from July Movements (1997–2024)
This research examines the presence of a seasonal anomaly in the Nepal Stock Exchange (NEPSE), focusing on the performance of July returns between 1997 and 2024. Using monthly closing index data, descriptive statistics, probability measures, and regression-based forecasting techniques were applied to determine whether July consistently shows abnormal performance. Results reveal that NEPSE recorded positive July returns in 20 out of 28 years, reflecting a 71% historical probability of upward movement, with an average return of 5.74%. Regression analysis further demonstrates a significant upward bias, with a long-term July growth trend of 12.98% and a model-predicted probability of 95% for positive returns. These findings suggest the existence of a “July effect” in NEPSE, indicating partial inefficiency in the market. The study contributes to financial literature on emerging markets and provides practical implications for investors, traders, and policymakers in Nepal.