EMPIRICAL TEST ON MACROECONOMIC FACTORS AND STOCK MARKET ANALYSIS: CASE OF KAZAKHSTAN STOCK MARKET
(2010) NEKM01 20101Department of Economics
- Abstract
- This paper analyzes the interactions between Kazakhstan stock market index and maroeconomic variables. The vector autoregressive model (VAR) is employed; Granger causality, impulse responses and variance decomposition tests are implemented. The results show weak interactions among tested variables and the market. The only variable that could be used as explanatory power for price movements in stock market is Exchange rate (EXR). This can be due to the export oriented firms’ power in the country. The weak explanatory power of other macrovariables can be interpreted as inefficiency in the local stock market.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1614102
- author
- Bayramova, Billura LU and Ojagverdiyeva, Saida
- supervisor
- organization
- course
- NEKM01 20101
- year
- 2010
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Vector Autoregressive Model (VAR), causality, impulse response, variance decomposition
- language
- English
- id
- 1614102
- date added to LUP
- 2010-06-14 14:02:39
- date last changed
- 2011-03-11 11:03:04
@misc{1614102, abstract = {{This paper analyzes the interactions between Kazakhstan stock market index and maroeconomic variables. The vector autoregressive model (VAR) is employed; Granger causality, impulse responses and variance decomposition tests are implemented. The results show weak interactions among tested variables and the market. The only variable that could be used as explanatory power for price movements in stock market is Exchange rate (EXR). This can be due to the export oriented firms’ power in the country. The weak explanatory power of other macrovariables can be interpreted as inefficiency in the local stock market.}}, author = {{Bayramova, Billura and Ojagverdiyeva, Saida}}, language = {{eng}}, note = {{Student Paper}}, title = {{EMPIRICAL TEST ON MACROECONOMIC FACTORS AND STOCK MARKET ANALYSIS: CASE OF KAZAKHSTAN STOCK MARKET}}, year = {{2010}}, }