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

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.