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.用于检验印度国家证券交易所（National Stock Exchange, NSE）与尼泊尔证券交易所（Nepal Stock Exchange, NEPSE）市场间波动状态转换的实证分析数据即为本工作数据集文件。该数据集涵盖2004年4月至2024年4月的1018条周度观测样本，每条样本包含两家证券交易所的周度收盘价，以及以连续复利计算的周对数收益率。选择周度数据序列的原因在于，将数据聚合至周度维度后，可均衡两家交易所的交易日差异，同时规避日度序列中存在的微观结构效应。