The Relationship between the Return of Energy Companies Listed on the Kazakhstan Stock Exchange and the Exchange Rate, KASE Index, and Gold Return: ARDL Bounds Value Approach

Baltaim Sabenova, Lyazat Talimova, Meruert Kanabekova, Dilyara S. Zhakipbekova, Gulnara Seitova, Gulbana Erzhigitovna Maulenkulova and Artur Bolganbayev
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Baltaim Sabenova: Peoples’ Friendship University Named after Academician A. Kuatbekov, Shymkent, Kazakhstan
Lyazat Talimova: Karaganda University of Kazpotrebsoyuz, Karaganda, Kazakhstan
Meruert Kanabekova: Abai Kazakh National Pedagogical University, Almaty, Kazakhstan
Dilyara S. Zhakipbekova: Mukhtar Auezov South Kazakhstan University, Shymkent, Kazakhstan
Gulnara Seitova: A. Baitursynov Kostanay Regional University, Kostanay, Kazakhstan
Gulbana Erzhigitovna Maulenkulova: Mukhtar Auezov South Kazakhstan University, Shymkent, Kazakhstan
Artur Bolganbayev: Khoja Akhmet Yassawi International Kazakh-Turkish University, Turkestan, Kazakhstan

International Journal of Energy Economics and Policy, 2024, vol. 14, issue 5, 131-140

Abstract: In a free market economy, stock market indices are influenced not only by national economic developments, but also by economic indicators such as gold, exchange rates, and oil. It is important to consider these indicators when analyzing the returns of companies traded on the stock exchange. Internal factors that impact stock market returns include the company's estimated earnings and changes in the company's financial structure. External factors include macroeconomic variables such as exchange rates, interest rates, gold prices, and Gross Domestic Product (GDP). A study analyzed the relationship between the returns of energy companies traded on KASE and the KASE index, exchange rate, and gold return during the period of 01.01.2023-01.04.2024 (328 trading days) using the ARDL Bounds Value Approach. The research findings indicate that the stock market composite index, foreign exchange, and gold returns have a long-term effect on the returns of energy companies. Particularly, the long-term effect of the stock market composite index return is found to be significant and positive for all three assets. Additionally, the effect of companies' past values has been observed as negative. According to the error correction model analysis, a key finding is that shocks to company returns will reach equilibrium in a short time, approximately one trading day. These results can provide decision support, especially for investors, when investing in energy companies.

Keywords: Kazakhstan; Kazakhstan Stock Exchange; Exchange Rate; Stock; Gold Yield; Energy Companies; Autoregressive Distributed Lag (search for similar items in EconPapers)
JEL-codes: C13 C20 C22 (search for similar items in EconPapers)
Date: 2024
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