The Impact of Oil Prices on the Stock Market and Real Exchange Rate: The Case of Kazakhstan

Dinmukhamed Kelesbayev,Sabit Baimaganbetov,Kundyz Myrzabekkyzy,Artur Bolganbayev

doi:10.32479/ijeep.11880

Dinmukhamed Kelesbayev, Sabit Baimaganbetov + Show 2 more

Open Access

https://doi.org/10.32479/ijeep.11880

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Abstract

In this study, the relationship between KASE stock market closing prices and oil prices is analyzed using ADF and Zivot-Andrews' (1992) unit root tests and monthly data for the period of 2016-2021. First, the variables are tested for causality. Results show that there is a causal relationship between the real exchange rate and closing prices and between oil prices and the real exchange rate. The short-term effects of the variables are investigated using the VAR method. Results show that Brent crude oil prices have a positive effect on KASE closing prices, while the real exchange rate has a negative effect. In conclusion, changes in oil prices affect the formation of stock prices.

Highlights

As one of the most valuable energy resources, oil plays a key role in today’s economy
The main purpose of this study is to investigate the effect of oil prices on the Kazakhstan stock exchange (KASE) and real exchange rate using the VAR model
This study empirically examines the direct and indirect effects of the oil price shocks on Kazakhstan’s real exchange rate and KASE stock market closing prices within the framework of the VAR model, using the monthly data for the period 2016-2021

Summary

INTRODUCTION

As one of the most valuable energy resources, oil plays a key role in today’s economy. Increases in oil prices create cost inflation, in turn, central banks raise interest rates to fight inflation This causes a decrease in the purchasing power of consumers and affects demand negatively, resulting in a decrease in investments. Various studies investigated the effects of oil prices on the stock market index and their results are conflicting. Studies are divided about the direction of the relationship between oil prices and the stock market index. This may be due to differences in the datasets used or the econometric methods employed. The study ends with a conclusion, which evaluates the findings

LITERATURE REVIEW

DATA AND METHODOLOGY

ANALYSIS AND DISCUSSION

CONCLUSION