Exchange Rate and Stock Prices Interactions in Kazakhstan

Mira Nurmakhanova ()
Additional contact information
Mira Nurmakhanova: Kazakhstan Institute of Management, Economics, and Strategic Research, Kazakhstan

Eurasian Journal of Economics and Finance, 2019, vol. 7, issue 2, 19-31

Abstract: This study employs a sample from 1st October, 2007 to 31st December, 2017 from Kazakhstan Stock Exchange (KASE) to investigate the nature of the interaction between exchange rate sensitivity and stock market. First, we test the stationarity of time series using the ADF and PP tests. Additionally, the Johansen and Juselius cointegration procedures were employed for the bivariate as well as multivariate cases. Results of research demonstrated stationarity in differences of the time series and absence of long-run relationship between the variables in bivariate model. When the model is extended to incorporate money supply and reserves, results detect the evidence of cointegration. Moreover, Granger causality tests demonstrate strong bidirectional relationship between exchange rate and stock prices in Kazakhstan. Policy wise, the results suggest that monetary authorities in Kazakhstan in achieving their exchange rate policy objective could take into consideration stock market development.

Keywords: Stock Prices; Exchange Rate; Granger Causality; Cointegration (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://eurasianpublications.com/wp-content/uploads/2021/02/EJEF-7.2.2.pdf (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ejn:ejefjr:v:7:y:2019:i:2:p:19-31

Access Statistics for this article

Eurasian Journal of Economics and Finance is currently edited by Xuan Vinh Vo

More articles in Eurasian Journal of Economics and Finance from Eurasian Publications
Bibliographic data for series maintained by Esra Barakli ().