IDEAS home Printed from https://ideas.repec.org/a/eco/journ2/2022-01-20.html
   My bibliography  Save this article

The Impact of Oil Prices on the Stock Market and Real Exchange Rate: The Case of Kazakhstan

Author

Listed:
  • Dinmukhamed Kelesbayev

    (Khoja Akhmet Yassawi International Kazakh-Turkish University, Turkestan, Kazakstan)

  • Kundyz Myrzabekkyzy

    (Khoja Akhmet Yassawi International Kazakh-Turkish University, Turkestan, Kazakstan)

  • Artur Bolganbayev

    (Khoja Akhmet Yassawi International Kazakh-Turkish University, Turkestan, Kazakstan)

  • Sabit Baimaganbetov

    (Khoja Akhmet Yassawi International Kazakh-Turkish University, Turkestan, Kazakstan)

Abstract

In this study, the relationship between KASE stock market closing prices and oil prices is analyzed using ADF and Zivot-Andrews (1992) unit root tests and monthly data for the period of 2016-2021. First, the variables are tested for causality. Results show that there is a causal relationship between the real exchange rate and closing prices and between oil prices and the real exchange rate. The short-term effects of the variables are investigated using the VAR method. Results show that Brent crude oil prices have a positive effect on KASE closing prices, while the real exchange rate has a negative effect. In conclusion, changes in oil prices affect the formation of stock prices.

Suggested Citation

  • Dinmukhamed Kelesbayev & Kundyz Myrzabekkyzy & Artur Bolganbayev & Sabit Baimaganbetov, 2022. "The Impact of Oil Prices on the Stock Market and Real Exchange Rate: The Case of Kazakhstan," International Journal of Energy Economics and Policy, Econjournals, vol. 12(1), pages 163-168.
    • Handle: RePEc:eco:journ2:2022-01-20
    as

    Download full text from publisher

    File URL: http://www.econjournals.com/index.php/ijeep/article/download/11880/6201/29461
    Download Restriction: no
    File URL: http://www.econjournals.com/index.php/ijeep/article/view/11880/6201
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Park, Jungwook & Ratti, Ronald A., 2008. "Oil price shocks and stock markets in the U.S. and 13 European countries," Energy Economics, Elsevier, vol. 30(5), pages 2587-2608, September.
    2. Gulmira Azretbergenova & Aziza Syzdykova, 2020. "The Dependence of the Kazakhstan Economy on the Oil Sector and the Importance of Export Diversification," International Journal of Energy Economics and Policy, Econjournals, vol. 10(6), pages 157-163.
    3. Basher, Syed A. & Sadorsky, Perry, 2006. "Oil price risk and emerging stock markets," Global Finance Journal, Elsevier, vol. 17(2), pages 224-251, December.
    4. Singhal, Shelly & Choudhary, Sangita & Biswal, Pratap Chandra, 2019. "Return and volatility linkages among International crude oil price, gold price, exchange rate and stock markets: Evidence from Mexico," Resources Policy, Elsevier, vol. 60(C), pages 255-261.
    5. Kamaldeen Ajala & Musa Abdullahi Sakanko & Sesan Oluseyi Adeniji, 2021. "The Asymmetric Effect of Oil Price on the Exchange Rate and Stock Price in Nigeria," International Journal of Energy Economics and Policy, Econjournals, vol. 11(4), pages 202-208.
    6. Shawkat Hammoudeh & Eisa Aleisa, 2004. "Dynamic Relationships among GCC Stock Markets and Nymex Oil Futures," Contemporary Economic Policy, Western Economic Association International, vol. 22(2), pages 250-269, April.
    7. Chang, Hsiao-Fen & Huang, Liang-Chou & Chin, Ming-Chin, 2013. "Interactive relationships between crude oil prices, gold prices, and the NT–US dollar exchange rate—A Taiwan study," Energy Policy, Elsevier, vol. 63(C), pages 441-448.
    8. Chang, Kuang-Liang & Yu, Shih-Ti, 2013. "Does crude oil price play an important role in explaining stock return behavior?," Energy Economics, Elsevier, vol. 39(C), pages 159-168.
    9. Aktolkin Abubakirova & Aziza Syzdykova & Assan Dosmakhanbet & Lyazzat Kudabayeva & Gulnar Abdulina, 2021. "Relationship between Oil Prices and Stock Prices in BRICS-T Countries: Symmetric and Asymmetric Causality Analysis," International Journal of Energy Economics and Policy, Econjournals, vol. 11(3), pages 140-148.
    10. Cong, Rong-Gang & Wei, Yi-Ming & Jiao, Jian-Lin & Fan, Ying, 2008. "Relationships between oil price shocks and stock market: An empirical analysis from China," Energy Policy, Elsevier, vol. 36(9), pages 3544-3553, September.
    11. Artur Bolganbayev & Kundyz Myrzabekkyzy & Sabit Baimaganbetov & Dinmukhamed Kelesbayev, 2021. "The Effect of Oil Prices on the Economic Growth of Oil Exporting Countries Bordering the Caspian Sea: Panel Data Analysis," International Journal of Energy Economics and Policy, Econjournals, vol. 11(6), pages 432-437.
    12. Hammoudeh, Shawkat & Li, Huimin, 2005. "Oil sensitivity and systematic risk in oil-sensitive stock indices," Journal of Economics and Business, Elsevier, vol. 57(1), pages 1-21.
    13. Umaid A. Sheikh & Muzaffar Asad & Zahid Ahmed & Umer Mukhtar & David McMillan, 2020. "Asymmetrical relationship between oil prices, gold prices, exchange rate, and stock prices during global financial crisis 2008: Evidence from Pakistan," Cogent Economics & Finance, Taylor & Francis Journals, vol. 8(1), pages 1757802-175, January.
    14. Hussain, Muntazir & Zebende, Gilney Figueira & Bashir, Usman & Donghong, Ding, 2017. "Oil price and exchange rate co-movements in Asian countries: Detrended cross-correlation approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 338-346.
    15. Aloui, Chaker & Jammazi, Rania, 2009. "The effects of crude oil shocks on stock market shifts behaviour: A regime switching approach," Energy Economics, Elsevier, vol. 31(5), pages 789-799, September.
    16. Areli Bermudez Delgado, Nancy & Bermudez Delgado, Estefanía & Saucedo, Eduardo, 2018. "The relationship between oil prices, the stock market and the exchange rate: Evidence from Mexico," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 266-275.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Artur Bolganbayev & Baltaim Sabenova & Gulmira Mombekova & Gulnur Sultankhanova & Tazhibayeva Raikhan Musamatovna, 2022. "The Effect of Electricity Generation, Thermal Energy Production, Fixed Capital Investment, and Consumer Price Index on Economic Growth in Kazakhstan," International Journal of Energy Economics and Policy, Econjournals, vol. 12(6), pages 67-72, November.
    2. Aizhan Ibyzhanova & Zamzagul Sultanova & Zhanna T. Aliyeva & Karlygash Tastanbekova & Saken Ualikhanovich Abdibekov & Bagila Mustafayeva & Kundyz Myrzabekkyzy, 2024. "The Effect of Energy Production and Foreign Trade on the Economic Growth of Turkic Republics: A Study Using Panel Data Analysis Method," International Journal of Energy Economics and Policy, Econjournals, vol. 14(2), pages 126-134, March.
    3. Gulmira Moldabekova & Zhanarys Raimbekov & Arsen Tleppayev & Yuliya Tyurina & Raushan Yesbergen & Gulimai Amaniyazova, 2022. "The Impact of Oil Prices on the Macroeconomic Indicators of Kazakhstan and the Consequences for the Formation of Social Policy," International Journal of Energy Economics and Policy, Econjournals, vol. 12(4), pages 447-454, July.
    4. Nurkhodzha Akbulaev & Elshan Mammadli & Gadir Bayramli, 2022. "The Effect of Energy Prices on Stock Indices in the Period of COVID-19: Evidence from Russia, Turkey, Brazil, and India," International Journal of Energy Economics and Policy, Econjournals, vol. 12(3), pages 262-269, May.
    5. Kundyz Myrzabekkyzy & Bektur Keneshbayev & Dina I. Razakova & Indira Kenzhebekova & Zhansulu Pirmanova, 2022. "Analysis of Causality Relationship Between the Economic Growth and the Energy Production and Technological Investments in Kazakhstan," International Journal of Energy Economics and Policy, Econjournals, vol. 12(6), pages 123-126, November.
    6. Dinmukhamed Kelesbayev & Kundyz Myrzabekkyzy & Artur Bolganbayev & Sabit Baimaganbetov, 2022. "The Effects of the Oil Price Shock on Inflation: The Case of Kazakhstan," International Journal of Energy Economics and Policy, Econjournals, vol. 12(3), pages 477-481, May.
    7. Shafa Guliyeva, 2023. "Analysis of the effect of Energy Prices on Stock Indexes During the Epidemic Crisis," International Journal of Energy Economics and Policy, Econjournals, vol. 13(2), pages 526-536, March.
    8. Zamzagul Sultanova & Galimzhan A. Pazilov & Lyailya Baibulekova & Gulzhakhan Kassymbekova & Gulnar Lukhmanova & Gulmira Issayeva & Kundyz Myrzabekkyzy, 2024. "Comparative Analysis of the Volatility Structures of the Stock Prices of Energy Companies Traded on the Kazakhstan Stock Exchange and International Gold and Oil Prices," International Journal of Energy Economics and Policy, Econjournals, vol. 14(1), pages 21-30, January.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Mohammad Benny Alexandri & Putri Irmala Sari & Widya Setiabudi Sumadinata, 2022. "Crude Oil Prices and Currency Exchange Rates Impact on the Indonesian Energy Stock Market during the Covid-19 Pandemic," International Journal of Energy Economics and Policy, Econjournals, vol. 12(4), pages 48-53, July.
    2. Ferreira, Paulo & Pereira, Éder Johson de Area Leão & Silva, Marcus Fernandes da & Pereira, Hernane Borges, 2019. "Detrended correlation coefficients between oil and stock markets: The effect of the 2008 crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 86-96.
    3. Ferreira, Paulo & Pereira, Éder & Silva, Marcus, 2020. "The relationship between oil prices and the Brazilian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
    4. Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2013. "Conditional correlations and volatility spillovers between crude oil and stock index returns," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 116-138.
    5. Degiannakis, Stavros & Filis, George & Floros, Christos, 2013. "Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 175-191.
    6. Dagher, Leila & El Hariri, Sadika, 2013. "The impact of global oil price shocks on the Lebanese stock market," Energy, Elsevier, vol. 63(C), pages 366-374.
    7. Degiannakis, Stavros & Filis, George & Floros, Christos, 2013. "Oil and stock price returns: Evidence from European industrial sector indices in a time-varying environment," MPRA Paper 80495, University Library of Munich, Germany.
    8. Arturo Lorenzo Valdés & Rocío Durán Vázquez & Leticia Armenta Fraire, 2012. "Conditional Correlation Between Oil and Stock Market Returns: The Case of Mexico," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 7(1), pages 49-63, Enero-Jun.
    9. Stavros Degiannakis & George Filis & Vipin Arora, 2018. "Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence," The Energy Journal, , vol. 39(5), pages 85-130, September.
    10. Berna Aydogan & Istemi Berk, 2015. "Crude Oil Price Shocks and Stock Returns: Evidences from Turkish Stock Market under Global Liquidity Conditions," International Journal of Energy Economics and Policy, Econjournals, vol. 5(1), pages 54-68.
    11. Zhu, Hui-Ming & Li, Su-Fang & Yu, Keming, 2011. "Crude oil shocks and stock markets: A panel threshold cointegration approach," Energy Economics, Elsevier, vol. 33(5), pages 987-994, September.
    12. Kamaldeen Ajala & Musa Abdullahi Sakanko & Sesan Oluseyi Adeniji, 2021. "The Asymmetric Effect of Oil Price on the Exchange Rate and Stock Price in Nigeria," International Journal of Energy Economics and Policy, Econjournals, vol. 11(4), pages 202-208.
    13. Sunil K. Mohanty & Joseph Onochie & Abdulrahman F. Alshehri, 2018. "Asymmetric effects of oil shocks on stock market returns in Saudi Arabia: evidence from industry level analysis," Review of Quantitative Finance and Accounting, Springer, vol. 51(3), pages 595-619, October.
    14. Ghosh, Sajal & Kanjilal, Kakali, 2016. "Co-movement of international crude oil price and Indian stock market: Evidences from nonlinear cointegration tests," Energy Economics, Elsevier, vol. 53(C), pages 111-117.
    15. Smyth, Russell & Narayan, Paresh Kumar, 2018. "What do we know about oil prices and stock returns?," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 148-156.
    16. Babak Fazelabdolabadi, 2019. "Uncertainty and energy-sector equity returns in Iran: a Bayesian and quasi-Monte Carlo time-varying analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-20, December.
    17. Suresh Kumar & Ankit Kumar & Gurcharan Singh, 2023. "Causal relationship among international crude oil, gold, exchange rate, and stock market: Fresh evidence from NARDL testing approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 47-57, January.
    18. Saleh Mothana Obadi & Matej Korcek, 2015. "Investigation of Driving Forces of Energy Consumption in European Union 28 Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 5(2), pages 422-432.
    19. Arturo Lorenzo Valdés & Rocío Durán Vázquez & Leticia Armenta Fraire, 2012. "Conditional Correlation Between Oil and Stock Market Returns: The Case of Mexico," Remef - The Mexican Journal of Economics and Finance, Instituto Mexicano de Ejecutivos de Finanzas. Remef, October.
    20. Mensi, Walid & Yousaf, Imran & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Asymmetric spillover and network connectedness between gold, BRENT oil and EU subsector markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).

    More about this item

    Keywords

    Oil Price; KASE Stock Market Closing Prices; Real Exchange Rate;
    All these keywords.

    JEL classification:

    • D51 - Microeconomics - - General Equilibrium and Disequilibrium - - - Exchange and Production Economies
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • O24 - Economic Development, Innovation, Technological Change, and Growth - - Development Planning and Policy - - - Trade Policy; Factor Movement; Foreign Exchange Policy
    • P42 - Political Economy and Comparative Economic Systems - - Other Economic Systems - - - Productive Enterprises; Factor and Product Markets; Prices
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eco:journ2:2022-01-20. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ilhan Ozturk (email available below). General contact details of provider: http://www.econjournals.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.