The Relationship between the Highest Prices and Trading Volume in the Share Indices of Energy and Oil Companies in Kazakhstan

Elmira Y. Zhussipova, Serikbay Saduakasuly Ydyrys, Ulmeken Makhanbetova, Gulzhanat Tayauova and Zhansulu Pirmanova
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Elmira Y. Zhussipova: M.Auezov South Kazakhstan University, Shymkent, Kazakhstan
Serikbay Saduakasuly Ydyrys: Khoja Akhmet Yassawi International Kazakh-Turkish University, Turkestan, Kazakhstan
Ulmeken Makhanbetova: Khoja Akhmet Yassawi International Kazakh-Turkish University, Turkestan, Kazakhstan
Gulzhanat Tayauova: Turan University, Almaty, Kazakhstan
Zhansulu Pirmanova: Peoples Friendship University named after Academician A. Kuatbekov, Shymkent, Kazakhstan

International Journal of Energy Economics and Policy, 2023, vol. 13, issue 3, 28-35

Abstract: This study uses econometric methods to reveal the relationship between the highest price formation and trading volume in the share indices of energy and oil companies traded on the Kazakhstan Stock Exchange (KASE). The study used daily transaction data of KEGC, KZAP, and KZTO companies for 200 trading days in 2022. The analysis is based on the VAR method. The shock effect analysis concluded that there is a mutual interaction between the trading volume and the highest price formation for all three companies. Trading volume had a causal effect on the highest price of only one company (KZTO). The existence of a correlation between the trading volume and the highest price formation is important for investment decisions. This can be interpreted as an indication of a connection between the trading volume and the highest price formation in KASE. More information on this relationship can be obtained by performing similar analyses for other companies traded in the KASE.

Keywords: Kazakhstan; KASE; Oil; Energy; Share Index; Transaction Volume; Price Formation; VAR Analysis (search for similar items in EconPapers)
JEL-codes: C13 C20 C22 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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