Asymmetric Effect of Oil Prices on Kazakhstan’s Stock Market Index and Exchange Rate
Syzdykova A. Azretbergenova G.
1 November 2024Econjournals
International Journal of Energy Economics and Policy
2024#14Issue 615 - 23 pp.
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.
Exchange Rate , Kazakhstan , NARDL , Oil Prices , Stock Returns
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Khoja Akhmet Yassawi International Kazakh-Turkish University, Turkestan, Kazakhstan
Khoja Akhmet Yassawi International Kazakh-Turkish University
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