Macroeconomic Variables and Equity Market Relation: KASE example

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

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