Abstract
The objective of this study is to examine
the Non-Linearity Behavior of the Nepalese Stock Market based on the NEPSE
index, Float index, Sensitive float index & Sensitive index. By using
recent statistical tools to control some of the limitations of financial data.
This study aims to detect low deterministic chaos in the Nepalese Stock Market.
Using the powerful BDS test and Variance Ratio Test, the empirical results
suggest that the Nepalese stock market indicates the existence of non-linearity
in raw and filtered returns. Furthermore, the findings point to a strong
dependence in the stock returns and chaotic behavior and stock prices can be
predicted using past data.
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