Browsing by Author "Zhandossay, Bakyt"

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    EFFECT OF SPOT AND FUTURES PRICES OF CRUDE OIL ON THE STOCK MARKET RETURN OF KAZAKHSTAN
    (Nazarbayev University Graduate School of Business, 2024-12-12) Zhandossay, Bakyt
    This thesis investigates the relationship between crude oil spot prices, crude oil futures prices, interest rates and stock market return of Kazakhstan, which is an oil exporting country. ARCH family regressions along with VAR and IRF models used to evaluate the impact of oil prices, revealed that both spot prices and futures prices of crude oil have a significant positive effect on the stock market returns, while interest rates predominantly influence the volatility of stock market gains. Paper also examines how the market responds to shocks in oil prices and interest rates. Furthermore, analysis of the asymmetric effect of oil prices showed that negative shocks in oil prices had a higher impact on the market volatility, compared to the positive shocks. The findings in this thesis may prove to provide valuable insights to the behavior of the stock market of Kazakhstan and its relationship with crude oil prices that can be utilized by policymakers, investors and portfolio managers.