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Asymmetric Effect of Oil Prices on Kazakhstan’s Stock Market Index and Exchange Rate

Author

Listed:
  • Aziza Syzdykova

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

  • Gulmira Azretbergenova

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

Abstract

In this study, the asymmetric effect of oil prices in Kazakhstan on the exchange rate (USD/KZT) and Kazakhstan stock market index (KASE) returns was analyzed using the non-linear ARDL cointegration (NARDL) method with monthly data for the period January 2010-February 2024. As a result of the findings of the study, both positive and negative changes in oil prices statistically affect stock returns and exchange rates in the long term. The estimated long-term positive (0.115982) and negative (0.111234) coefficients of oil prices on KASE returns were found to be statistically significant at the 5% significance level. Thus, in the examined period, the KASE variable gave different reactions to positive or negative shocks in the oil price. In the model where the exchange rate is the dependent variable, the estimated long-term positive (-0.093875) and negative (-0.092918) coefficients of oil prices were found to be statistically significant at the 95% reliability level.

Suggested Citation

  • Aziza Syzdykova & Gulmira Azretbergenova, 2024. "Asymmetric Effect of Oil Prices on Kazakhstan’s Stock Market Index and Exchange Rate," International Journal of Energy Economics and Policy, Econjournals, vol. 14(6), pages 15-23, November.
    • Handle: RePEc:eco:journ2:2024-06-2
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    References listed on IDEAS

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    More about this item

    Keywords

    Oil Prices; Stock Returns; Exchange Rate; Kazakhstan; NARDL;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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