Skip to content
DSML.KZ
Publications

Article · International Journal of Energy Economics and Policy · November 1, 2024

Asymmetric Effect of Oil Prices on Kazakhstan’s Stock Market Index and Exchange Rate

Aziza Syzdykova, Gulmira Azretbergenova

Gulmira Azretbergenova
Read on dx.doi.orgPDFDOI 10.32479/ijeep.16549

Abstract

In this study, the asymmetric effect of oil prices in Kazakhstan on the exchange rate (USD/KZT) and Kazakhstan stock market index (KASE) returns was analyzed using the non-linear ARDL cointegration (NARDL) method with monthly data for the period January 2010-February 2024. As a result of the findings of the study, both positive and negative changes in oil prices statistically affect stock returns and exchange rates in the long term. The estimated long-term positive (0.115982) and negative (0.111234) coefficients of oil prices on KASE returns were found to be statistically significant at the 5% significance level. Thus, in the examined period, the KASE variable gave different reactions to positive or negative shocks in the oil price. In the model where the exchange rate is the dependent variable, the estimated long-term positive (-0.093875) and negative (-0.092918) coefficients of oil prices were found to be statistically significant at the 95% reliability level.

Market Dynamics and VolatilityMonetary Policy and Economic ImpactEconomics of Agriculture and Food Marketsoil pricesasymmetric effectsexchange rates

More by Gulmira Azretbergenova