Macroeconomic Variables and Equity Market Relation: KASE example

Yıl 2018, Cilt: 8 Sayı: 2, 331 - 354, 29.12.2018

Aziza Syzdykova

https://doi.org/10.18074/ckuiibfd.444811

Cited By: 3

Öz

Equity securities are
among the most important investment instruments in terms of investors. For this
reason, estimates of stock price movements concern closely both investors and
researchers working in the field of finance. Until now, many empirical studies
have been conducted on the factors affecting stocks in the literature for
country and country groups but there are very few studies about Kazakhstan
equity market. The reason is that  Kazakhstan
stock exchange (KASE) is a new stock exchange and on the other hand it is a
newly emerging small stock exchange.

In this study, the
relationship between the five macroeconomic variables and the KASE stock market
index was tried to be explained. The Method of Least Squares in order to determine
the statistical significance of the variables, Johansen cointegration test to
investigate the existence of a long-run relationship between variables, error
correction model for explaining the causality between variables and  Granger causality analysis was used.

Anahtar Kelimeler

Kazakhstan, KASE, macroeconomic variables, OLS, Cointegration

Makroekonomik Değişkenler ve Hisse Senedi Piyasası İlişkisi: KASE Örneği

Öz

Hisse senetleri yatırımcılar açısından en önemli yatırım araçları içerisinde yer almaktadır. Bu nedenle hisse senetleri fiyat hareketlerinin tahmini hem yatırımcıları hem de finans alanında çalışma yapan araştırmacıları yakından ilgilendirmektedir. Bugüne kadar literatürde hisse senedini etkileyen faktörleri ülke ve ülke grupları için araştıran ampirik çalışmalar çok sayıda yapılmıştır. Fakat Kazakistan hisse senedi piyasasını konu alan çalışmalar çok az sayıdadır. Bunun sebebi Kazakistan borsasının (KASE) yeni bir borsa olması ve diğer yandan daha yeni gelişmekte olan küçük borsa olmasıdır.
Bu çalışmada beş adet makro ekonomik değişken ile KASE borsa endeksi arasındaki ilişki açıklanmaya çalışılmıştır. Değişkenlerin istatistiksel açıdan anlamlılığını tespit etmek için EKK yöntemi, değişkenler arasındaki uzun dönemli ilişkinin varlığını araştırmak için Johansen eşbütünleşme testi, değişkenler arasındaki nedenselliğin açıklanması için hata düzeltme modeli ve Granger nedensellik analizi kullanılmıştır.

Anahtar Kelimeler

Kazakistan, KASE, makroekonomik değişkenler, EKK, Eşbütünleşme

Kaynakça

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