Distribution Nature of Month-Wise Return from Nepalese Stock Market (NEPSE)

Abstract

The returns’ distribution nature from the stock market is a concern for investors to determine the future trend of the market. An assumption of normality for the stock market returns concerned the academician and investors. Nevertheless, the random walk theory assumes randomness in the market return. In this context, the paper studied the distribution nature of the month-wise returns from the Nepalese Stock Market (NEPSE). The paper revealed month-wise returns far away from normality. Similarly, going through each month-wise return, an extreme value theory (EVT) based distribution better fitted for most of the month-wise returns from NEPSE. Nevertheless, the return distribution for the month of mid-December, mid-July, and mid-November was predictable in nature.