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EMPIRICAL TEST ON MACROECONOMIC FACTORS AND STOCK MARKET ANALYSIS: CASE OF KAZAKHSTAN STOCK MARKET

Bayramova, Billura LU and Ojagverdiyeva, Saida (2010) NEKM01 20101
Department 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.
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author
Bayramova, Billura LU and Ojagverdiyeva, Saida
supervisor
organization
course
NEKM01 20101
year
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},
  keyword      = {Vector Autoregressive Model (VAR),causality,impulse response,variance decomposition},
  language     = {eng},
  note         = {Student Paper},
  title        = {EMPIRICAL TEST ON MACROECONOMIC FACTORS AND STOCK MARKET ANALYSIS: CASE OF KAZAKHSTAN STOCK MARKET},
  year         = {2010},
}