Performance of Nepse Index by Days of the Week

September 15, 2025 | Investopaper

This study provides a comprehensive analysis of the Nepal Stock Exchange (NEPSE) Index performance by day of the week, utilizing historical data from 2003 to 2025. Through advanced statistical methods and visualizations, the study examines daily return patterns, volatility, win rates, and risk-adjusted performance. Key findings indicate that Wednesday and Thursday are the most favorable trading days, with the highest average returns and win rates, while Sunday exhibits negative returns and high volatility.

1. Introduction

The Nepal Stock Exchange (NEPSE) Index is a key indicator of Nepal’s financial market performance. Understanding temporal patterns in stock market returns can guide investment strategies and market timing decisions. This report analyzes the NEPSE Index’s performance by day of the week, focusing on average returns, volatility, win rates (percentage of days with positive returns), and risk-adjusted performance. The analysis spans data from 2003 to 2025, employing statistical techniques and visualizations to uncover significant patterns.

Figure 1: Nepse Index Over the Years

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2. Data and Methodology

2.1 Data Source

The dataset consists of daily NEPSE Index values from 2003 to 2025, sourced from Nepal Stock Exchange.

2.2 Data Preprocessing

Data preprocessing was conducted with the following steps:

Date Parsing: Extracted day of the week, month, year.

Return Calculation: Computed daily returns as:
Returns = [(Nepse_t – Nepse_{t-1}) / Nepse_{t-1}] × 100.

Filtering: Excluded non-trading days (Friday and Saturday), resulting in 4,929 observations across Sunday to Thursday.

Factor Ordering: Ordered days (Sunday to Thursday) for consistent analysis.

2.3 Statistical Methods

Descriptive Statistics: Calculated mean, median, standard deviation, minimum, and maximum returns, along with win rates for each day.

ANOVA: Performed a one-way ANOVA to test for significant differences in returns across days, followed by Tukey’s HSD post-hoc test to identify specific day pairs with significant differences.

Risk-Adjusted Returns: Computed a Sharpe-like ratio (Mean Return / Standard Deviation) to assess risk-adjusted performance.

2.4 Visualization

Following visualizations were created for the analysis:

Bar plots for average returns and win rates.

Violin and box plots for return distributions.

Time series plot of the NEPSE Index.

Scatter plot for risk-return profiles.

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3. Results

3.1 Descriptive Statistics

Table 1 summarizes key performance metrics by day of the week.

Table 1: Descriptive Statistics by Day of Week

	Trading Days of the Week
Metrics	Sunday	Monday	Tuesday	Wednesday	Thursday
Count	912	1005	1000	1007	1005
Mean Index	1174.995	1088.218	1118.205	1115.225	1089.629
Median Index	989.235	908.83	936.99	942.15	921.69
SD Index	749.3	762.334	778.889	772.097	765.693
Mean Return (%)	-0.029	-0.008	0.07	0.134	0.12
Median Return (%)	-0.145	-0.013	0.015	0.039	0.029
SD Return (%)	1.577	1.273	1.275	1.194	1.048
Min Return (%)	-6.97	-6.036	-6.017	-5.028	-6.017
Max Return (%)	6.041	6.004	6.061	6.01	5.863
Positive Days	398	491	504	523	519
Negative Days	511	512	494	483	482
Win Rate (%)	43.64	48.86	50.4	51.94	51.64

Key Observations:

Wednesday has the highest mean return (0.134%) and win rate (51.94%).

Sunday shows the lowest mean return (-0.029%) and win rate (43.64%).

Thursday exhibits the lowest volatility (SD = 1.048%), while Sunday is the most volatile (SD = 1.577%).

3.2 Statistical Significance

A one-way ANOVA test indicated a significant day-of-week effect on returns (p-value = 0.0115, α = 0.05). Tukey’s HSD post-hoc test revealed a significant difference between Wednesday and Sunday (p = 0.0414), with Wednesday outperforming Sunday by 0.164% on average.

3.3 Risk-Adjusted Performance

Table 2 presents risk-adjusted returns using a Sharpe-like ratio.

Table 2: Risk-Adjusted Performance by Day

Day	Mean Return (%)	SD Return (%)	Risk-Adjusted Return	Win Rate (%)
Sunday	-0.029	1.577	-0.019	43.64
Monday	-0.008	1.273	-0.006	48.86
Tuesday	0.070	1.275	0.055	50.40
Wednesday	0.134	1.194	0.112	51.94
Thursday	0.120	1.048	0.115	51.64

Wednesday and Thursday show the highest risk-adjusted returns (0.112 and 0.115, respectively), balancing strong returns with lower volatility.

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3.4 Visual Analysis

Figure 2: Average Daily Returns by Day of Week

Wednesday and Thursday exhibit positive average returns, while Sunday shows negative returns.

Figure 2: Bar plot of average returns

Figure 3: Distribution of Daily Returns by Day of Week

Violin plots indicate wider return distributions on Sunday (high volatility) and tighter distributions on Thursday (low volatility).

Figure 3: Violin and box plot of return distributions

Figure 4: Win Rate by Day of Week

Wednesday leads with a 51.94% win rate, followed by Thursday (51.64%).

Figure 4: Bar plot of win rates

Figure 5: Volatility by Day of Week

Sunday is the most volatile, while Thursday is the least volatile.

Figure 5: Bar plot of standard deviation

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Figure 6: Risk-Return Profile by Day of Week

Wednesday and Thursday cluster in the high-return, low-risk quadrant, while Sunday is in the high-risk, negative-return quadrant.

Figure 6: Scatter plot of risk vs. return

4. Discussion

The analysis confirms a significant day-of-week effect in the NEPSE Index. Wednesday and Thursday consistently outperform other days in terms of average returns, win rates, and risk-adjusted performance. Sunday, conversely, is the least favorable, with negative returns and high volatility. These patterns may stem from market sentiment, liquidity variations, or institutional trading behaviors specific to the Nepalese market.

4.1 Implications for Investors

Trading Strategy: Investors may increase exposure on Wednesday and Thursday to leverage higher returns and lower volatility.

Risk Management: Caution is advised on Sundays due to negative returns and high volatility.

Market Timing: The significant day-of-week effect suggests potential for short-term trading strategies based on daily patterns.

4.2 Limitations

The analysis focuses on the NEPSE Index and may not apply to individual stocks or sectors.

Macroeconomic events, policy changes, or global market influences were not controlled for.

5. Summary Rankings

Table 3 ranks days by performance and stability.

Table 3: Final Rankings by Performance and Stability

Day	Count	Mean Return (%)	Win Rate (%)	SD Return (%)	Performance Rank	Stability Rank
Sunday	912	-0.029	43.64	1.577	5	5
Monday	1005	-0.008	48.86	1.273	4	3
Tuesday	1000	0.070	50.40	1.275	3	4
Wednesday	1007	0.134	51.94	1.194	1	2
Thursday	1005	0.120	51.64	1.048	2	1

Conclusion

The NEPSE Index exhibits a statistically significant day-of-week effect, with Wednesday and Thursday emerging as the most favorable trading days due to higher returns, win rates, and risk-adjusted performance. Sunday is the least favorable, characterized by negative returns and high volatility. These findings offer practical insights for optimizing trading strategies in the Nepalese stock market.

Also Read:

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Comprehensive Analysis of Performance of Development Bank Stocks Listed in NEPSE