NSE Nifty 50 and NEPSE Index Combined Weekly Closing Prices and Log Returns: April 2004 – April 2024

Description

The data used in the empirical analysis to examine volatility regime switching between the National Stock Exchange (NSE) of India and Nepal Stock Exchange (NEPSE) market is this working data file. This file includes 1,018 weekly observations from April 2004 to April 2024, where each observation comprises the weekly closing value of the NSE and NEPSE stock exchanges, along with the weekly logarithmic return on the continuous compounding basis. The purpose of choosing the weekly data series is that, by aggregating to a weekly level, the difference in trading days between the two stock exchanges would be equalised as well as the microstructure effect present in daily series would be overcome.

Steps to reproduce

The data used in this research was created from the daily index series for NSE Nifty 50 and NEPSE Indices. The daily series were converted to a weekly frequency by taking the value of the last trading day, which was always Friday or the nearest trading day before the weekend (when Friday was a holiday in any of the two markets). These two weekly series were merged based on common week ending dates using an inner join and all those weeks where no data was available in any of the two markets were omitted from the dataset. The first and last rows were removed since they corresponded to incomplete weeks. Finally, logarithmic returns were calculated using the equation Rₜ = ln(Pₜ) − ln(Pₜ₋₁) for each of the two weekly closing price series, and the first row, which was filled with NaNs due to the lag operation, was dropped to form the final dataset with 1,018 observations. All calculations were done using Python 3.11 with NumPy and Pandas; the Python code can be found in Appendix A of the dissertation.

Institutions

• London Metropolitan University

  England, London

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