The Relationship between the Highest Prices and Trading Volume in the Share Indices of Energy and Oil Companies in Kazakhstan

Zhussipova E.Y. Ydyrys S.S. Makhanbetova U. Tayauova G. Pirmanova Z.
17 May 2023 Econjournals

International Journal of Energy Economics and Policy
2023 #13 Issue 3 28 - 35 pp.

This study uses econometric methods to reveal the relationship between the highest price formation and trading volume in the share indices of energy and oil companies traded on the Kazakhstan Stock Exchange (KASE). The study used daily transaction data of KEGC, KZAP, and KZTO companies for 200 trading days in 2022. The analysis is based on the Vector autoregressive models method. The shock effect analysis concluded that there is a mutual interaction between the trading volume and the highest price formation for all three companies. Trading volume had a causal effect on the highest price of only one company (KZTO). The existence of a correlation between the trading volume and the highest price formation is important for investment decisions. This can be interpreted as an indication of a connection between the trading volume and the highest price formation in KASE. More information on this relationship can be obtained by performing similar analyses for other companies traded in the KASE.

Energy , KASE , Kazakhstan , Oil , Price Formation , Share Index , Transaction Volume , Vector Autoregressive Models Analysis

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M.Auezov South Kazakhstan University, Shymkent, Kazakhstan
Khoja Akhmet Yassawi International Kazakh-Turkish University, Turkestan, Kazakhstan
Turan University, Almaty, Kazakhstan
Peoples’ Friendship University named after Academician A. Kuatbekov, Shymkent, Kazakhstan

M.Auezov South Kazakhstan University
Khoja Akhmet Yassawi International Kazakh-Turkish University
Turan University
Peoples’ Friendship University named after Academician A. Kuatbekov

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