Theses and Dissertations

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SEASONALITY EFFECTS IN KAZAKHSTAN STOCK EXCHANGE (KASE) INDEX
(Nazarbayev University, Graduate School of Business, 2021-02-11) Mutkarim, Assem; Nursalim, Madina; Orumbayeva, Sara
We investigate whether there exist seasonal anomalies in the Kaza- khstan Stock Exchange (KASE) index. We focus on two well-known ef- fects in capital markets: day-of-the-week and month-of-the-year e ects af- ter controlling macroeconomic variables, crisis periods, and world market movement. Moreover, we construct the KASE Total Return index to con- sider dividends as a potential cause of seasonality in the index returns. The empirical evidence indicates that there are negative Monday and pos- itive Friday e ects in KASE index. However, the negative Monday e ect might result from a decrease in prices on ex-dividend dates. The positive Friday e ect can be explained by investors' sentiments before the holidays. We nd no month-of-the-year e ect in the KASE index. Since there is no prior research on seasonality in the local market, our study reveals notable results and initiates a discussion on this topic.
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FORECASTING INFLATION RATE OF KAZAKHSTAN BASED ON THE CONSUMER PRICE INDEX, CONSIDERING THE IMPACT OF SEASONALITY
(Nazarbayev University, Graduate School of Business, 2021-02-11) Zhumatayeva, Madina; Kussainov, Arsen; Yelyubayeva, Aray
The purpose of this work is to study and compare existing models and methods, and build an optimal model for forecasting inflation in Kazakhstan, taking into account seasonal adjustment of CPI. This paper compares the performance of two seasonal adjustment methods, TRAMO-SEATS and X-13-ARIMA-SEATS. Based on the results of seasonal adjustment, the X-13-ARIMA-SEATS method detects more outliers than the TRAMO-SEATS method; however, the difference in the seasonally adjusted time series is negligible. Thus, further comparison of these two methods is conducted based on the result analysis of the forecast models. To forecast the inflation rate, two models are used - the ARIMA-GARCH model, and the VAR model. The out-of-sample forecast is made for a short-term period of six months from June 2019 to December 2019. Based on the error measures in the validation period the most adequate and accurate model is the VAR(2) model with CPI seasonally adjusted by the X-13-ARIMA-SEATS method.
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USE OF OPTIONS TO INCREASE AND REDUCE VOLATILITY IN THE MARKET PORTFOLIO BASED ON PAST VOLATILITY
(Nazarbayev University, Graduate School of Business, 2021-12-21) Mantilla Sanchez, Pedro; Najib, Fayez
This paper verifies under realistic trading conditions the results in Moreira and Muir (2017) which shows that leveraging/deleveraging the index portfolio according to its past volatility with the use of index options brings extra risk-adjusted profits. We use as a proxy for the market portfolio the S&P 500 index in the period of 1996-2020 and use Chicago Board of Exchange (CBOE) traded options on this index. Leveraging/deleveraging with 30-day to maturity options yields negative extra profits irrespectively of trading at the bid/ask or at the quote midpoint. Our results imply that the improvement shown in Moreira and Muir (2017) was due to the combination of very frequent (daily) rebalancing in their portfolios and trading at the quote midpoint.
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DID PENSION FUND WITHDRAWALS CREATE A HOUSING BUBBLE IN KAZAKHSTAN?
(Nazarbayev University, Graduate School of Business, 2021-12-21) Mashrapova, Ainur; Baitlessov, Ruslan; Yskak, Madina
This paper investigates how pension fund withdrawal acceptance from 1st January of 2021 for enhancement of living conditions of citizens in Kazakhstan influenced housing pricing in primary and secondary markets. We used panel data for 16 different cities in order to capture the influence on the regional level as well as on the national. We applied Fixed Effects Linear Model (FELM) to estimate the effects of pension fund withdrawals (PFW) on housing prices. Also, it was aimed to detect the existence of bubbles on the housing market of Kazakhstan during the period from January 2014 till September 2021. For this purpose, we applied the Generalized Supremum Augmented Dickey-Fuller Test (GSADF), developed by Philips et al (2015) and widely used in recent academic literature for the identification of bubbles for different asset types. Our results show that there is a housing bubble in the secondary and primary housing markets of Kazakhstan. Moreover, the PFW policy increased the housing prices in major cities and influenced the creation of the housing bubble in Nur-Sultan and Almaty.
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IS THERE EVIDENCE OF MARKET MANIPULATION ON THE KASE?
(Nazarbayev University, Graduate School of Business, 2021-12-21) Zhuleuov, Zhanbolat
Kazakhstan stock exchange belongs to the category of the frontier market and the regulatory framework requires continuous development to preserve market integrity in this market. Even though there is no commonly accepted definition of the term “market manipulation”, there are some market behaviors on capital markets that are prohibited by regulators. Some of these observed actions can have enforcement acts and investigation will be done to identify whether actions were manipulative or not. Stock listed on the KASE has comparatively less liquidity compared to the developed markets; therefore, for KASE market participants, it can be challenging to identify during times of price movements whether it is based on fair valuation of the stock or manipulators are acting. The fact that there are no reported stock manipulation cases raises the question of whether regulators are not observing manipulations or tools of regulators are effective to prohibit manipulative behavior on the market. This work studies four first-class liquidity stocks to examine any evidence of market manipulations based on the limit order book data.
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AN ASSESSMENT OF TRIANGULAR ARBITRAGE OPPORTUNITIES BETWEEN CRYPTOCURRENCY AND FIAT CURRENCY EXCHANGES. PREDICTORS AND FINANCIAL RATIONALE
(Nazarbayev University, Graduate School of Business, 2021-12-21) Almen, Anar; Zhaipanov, Dosmukhamed; Dauletkhanuly, Yeldos
This study assesses the eventual existence of triangular arbitrages between crypto and fiat currencies and analyzes economic factors which might contribute to the appearance of such opportunities. In particular, the authors look at core alphas of arbitrage based on crypto to fiat exchanges in two different crypto open source exchanges. By examining the existence of any statistically significant alphas, we find that this opportunity exists and might be exploitable for the US based exchange, Coinmarketcap. Similarly, triangular arbitrage exists, but are much smaller in the Coingecko exchange. This finding demonstrates the existence of discrepancies between exchanges. Furthermore, regression analyses indicate that Bitcoin is more sensitive to commodity prices changes as compared to Ethereum. In addition, we find that google searches related to cryptocurrencies are a strong predictor of arbitrage opportunities in triangular sets including Ethereum. In contrast, google trend aggregator data had almost no effect on Bitcoin containing exchange triplets. Additionally, proximity to the market plays a significant role in determining impact of central bank monthly T-bill rate on quotation volatility and subsequent arbitrage opportunities.
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REVERSAL OVERLAY FROM COMMODITY FUTURES
(Nazarbayev University, Graduate School of Business, 2021-12-21) Sotsialkhan, Dosbol
This study gets insight from a recently published article which finds out the predicting role of the “CFEAR” in the commodity futures market. It becomes interesting for me to check its robustness in a longer period. Due to the limitations of internet access prior to their sample period, this paper has examined whether a nearest proxy for the “CFEAR” can produce similar result. The proxied “Simple 5” portfolio failed to perform similarly out of sample. However, through examining various cross-sectional exploratory regressions and 576 different momentum strategies, a risky 6-Month Reversal patterns from the commodity futures returns has been identified in the training period. When this 6-Month Reversal portfolio added as an overlay to the Equal Weighted Commodity Portfolio and some conventional benchmarks in the stock market, the overlay can enhance the performance out-of-sample. Due to the limitations of data availability, other common factors such as basis, basis-momentum, relative basis, hedging pressure are not included in the study. A high Sharpe Ratio from the Reversal Portfolios indicates informationally inefficient markets. Thus, examining the economic significance of the short-term reversal strategies seems meaningful for the academia and practitioners
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ENHANCED PORTFOLIO OPTIMIZATION
(Nazarbayev University, Graduate School of Business, 2021-12-21) Kylyshbek, Yestay
Portfolio optimization ought to provide investors with an asset allocation strategy that outperforms the market. As a foundation of all portfolio optimization strategies, standard mean-variance optimization (MVO) strategy usually underperforms the market portfolio in practice. Numerous researches also present the fact that most of the active investors actually underperform the market, hence the best way of investing might be the most passive one. This paper duplicates and extends the work of an existing study to verify the effect of correlation shrinkage and implement industrial momentum in the Enhanced Portfolio Optimization method
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VOLATILITY-MANAGED PORTFOLIOS: EVIDENCE FROM THE US EQUITY MARKET
(Nazarbayev University, Graduate School of Business, 2021-12-21) Toktassinova, Elvira; Kumisbay, Danira; Sekerkhanova, Madina; Zhumazhanova, Laura
This study assesses whether the strategy Moreira and Muir (2017) on volatility-managed portfolios generates high returns when applied on the U.S. stock market. In our owrk we replicate the methodology of Moreira and Muir for the long-short decile portfolios excluding microcaps and 1,000 largest stocks for the period between June 1963 and January 2020 while Moreira and Muir (2017 used Farma and French factors. We conclude that performance of volatility-managed portfolios is mixed and it is difficult to implement under realistic trading conditions, especially in the universe of large caps.
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AN ANALYSIS OF CREDIT DECISIONS FOR CONSUMER LOANS ON AN ONLINE PLATFORM USING TRADITIONAL AND MACHINE LEARNING TECHNIQUES
(Nazarbayev University, Graduate School of Business, 2022-12-21) Kuandykova, Symbat
This paper is aimed to analyse the secondary bank credit scoring mechanism using the historical data of the existing loan applications of the borrowers through traditional logistic regression and machine learning techniques. The historical data include the four-month long loan application by the clients and consists of the data of borrower’s age, sex, region, mobile model, loan overdue information, whether the borrower has a tax debt and whether the bank has refused to provide a loan to a specific client or not. In this paper, the different methodologies and the importance of machine learning in credit scoring nowadays is discussed first. Then, the description of the data and the methodology used is presented. The results include the logistic regression analysis of the variables and the check on the significance of the variable in decision-making in credit scoring. Lastly, using logistic regression and machine learning (xgboost), I was able to identify which of the strategies are better in determining the area under the curve.
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STOCK PRICE CRASH RISK AND CYBERSECURITY EXPOSURE
(Nazarbayev University, Graduate School of Business, 2022-12-14) Token, Akmaral
Prior literature attributes stock price crash risk to managers hiding or personally absorbing firm-specific negative information from investors. Managers hide information in the 10-K reports which lead to stock price crashes once that information is made public. This paper studies the impact of the cybersecurity disclosure in the annual financial report on the stock price crash risk. The analyzed data covers the period from 2000 to 2021. A firm-level measure of cybersecurity risk is then added to the regression model. Following Kim et al. (2019), we document that a strong association between cybersecurity risk and crash risk exists.
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SELECTING A BOND PRICING MODEL FOR TRADING IN KAZAKHSTAN
(Nazarbayev University, Graduate School of Business, 2022-12-14) Abdygaliyev, Azamat; Saktassynov, Yerassyl
In this research, we fit term structure models of the interest rates to cross-sections of government bonds in Kazakhstan and investigate whether we can use the pricing errors as indicators of mispricing. We test whether we can generate excess returns by building portfolios of bonds based on the mispricing from the term structure models. We consider commonly used specifications of term structure models: Cox, Ingersoll and Ross (“CIR”) and Vasicek as well as basic spline function. The abnormal returns are measured against a duration-based benchmark. We construct zero-yield curves based on the cross-sectional estimates from the term structure models and compare this to term structure plots based on tenure (duration/convexity). Trading test results show that CIR and Vasicek bond-pricing models efficiently detect mispricing and generate 14.4% and 15% cumulative abnormal returns (“CAR”) over 6 years if the data would be actually tradable. On the other hand, spline model overfits the data and does not detect mispricing as efficiently as both economic models. Experiments with less knot points did not help to improve the issue of overfitting. Because of limitations to the number of cross-section estimations we are unable to show that the CARs for CIR and Vasicek are statistically significant. However, the pattern seems similar for both term structure models.
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EMPIRICAL DISTRIBUTION OF STOCK RETURNS IN KZ MARKET
(Nazarbayev University, Graduate School of Business, 2022-12-14) Zhakipzhanov, Adilzhan
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EMPIRICAL STUDY OF THE ROLE OF CREDIT INFORMATION, FINANCIAL SECTOR OUTREACH, AND DATA LOCALIZATION POLICY ON TAX EVASION.
(Graduate School of Business, 2022-12-14) Kurmanbay, Alibek; Bolat, Alibek; Lattanzio, Gabriele
Tax evasion is a serious problem in both developed and developing countries. In our study, we want to show that banking outreach and the depth and quality of credit information systems play an important role in decreasing both tax evasion occurrence and tax evasion degree. Based on the data and methodology used in the study conducted by Beck et al. (2014), in this thesis, we tried to replicate and extend the scope of the research. Given the global trend of data localization, we want to contribute to the scholarly literature by investigating the impact of localization reforms on both the degree and occurrence of tax evasion. The laws on data localization often require companies to store commercial data locally (Panday 2018). According to Bauer et al. (2016), an analysis of 21 EU member countries' laws on data localization shows that these restrictions apply to commercial data such as transaction records, accounting records, and tax documents. Our results show a significant effect of localization reforms on tax avoidance, decreasing both the tax evasion rate and its occurrence. Moreover, our study found that the participation of foreign investors in external auditing decreases tax evasion
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AN EMPIRICAL EVALUATION OF COMMODITY FUTURES TRADING STRATEGIES BASED ON PAST PUBLIC INFORMATION
(Nazarbayev University, Graduate School of Business, 2022-12-14) Abdikhalyk, MIras; Baizakov, Azamat
The performance of individual momentum, term structure, and idiosyncratic volatility commodity futures trading strategies based on trading signals, as well as double and triple combinations of the latter three, is demonstrated in this study. The profitability of these strategies calls into question the weak form of the efficient market hypothesis because the signals are based on past public trading information. Robustness analysis for the recent decade and sensitivity analysis on the breadth of the futures portfolio were conducted
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FEED-IN TARIFFS PRACTICE FOR RENEWABLE ENERGY SOURCES IN KAZAKHSTAN – PROBLEMS AND PROSPECTS
(Nazarbayev University Graduate School of Business, 2016-11) Mominbayev, Zhomart
Decreasing CO2 emission along with active implementation of renewable energy sources (RES) has already become a mainstream of energy policy of many countries. State reimbursement of investments in RES projects via a balanced tariff policy is recognized as an important factor in reaching a country’s “green” targets. After the recent devaluation of the Tenge, the current tariff policy is no more a driver for RES development in Kazakhstan, and it is highly likely that Kazakhstan will miss the target of 3% of all electricity generated from RES by 2020. Thus government is seeking new market mechanism to stimulate the RES sector. My work shows that for Kazakhstan, introduction of a transparent regulatory system of tariff setting, with a system of differential (mostly higher) rate for “green” energy, is the only way to sustain and increase capacity of RES. I use case analysis to elaborate on roadmaps to increase efficiency not only in this particular case but for other state programs that were not successful. My analysis is based on documents review, visiting consultants and debating on conference.
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ENHANCEMENT OF OPERATING EFFICIENCY OF THE NATIONAL MEDICAL HOLDING THROUGH CENTRALIZATION OF FINANCIAL FUNCTIONS AND CASH FLOWS
(Nazarbayev University Graduate School of Business, 2016-11) Yezhov, Vladislav
This paper explores financial management problems in the medical holding company, which has more control over their expenses than income. At the same time the parent company does not provide medical services and does not have stable sources of revenue to cover the maintenance costs of its staff. Each subsidiary of the holding company may carry out medical activities on their own, however the economy of scale can optimize administrative costs, save money on procurement and improve operating processes in clinics of holding company...
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BUSSINES PARK IN ATYRAU
(Nazarbayev University Graduate School of Business, 2016-11) Amangaleyev, Serik
This thesis presents a Business Park project (hereinafter referred to as BP) located in Atyrau, Kazakhstan. The objective of BP is to create a plan for a new business in Kazakhstan.BP will provide comprehensive support for client operating in production and construction that deal with explosive materials (oil and gas production and refining, coal, etc.). Our support will be provided in four main areas: - Creation of an Educational Center for training and certification of electrical and instrumentation personnel; - Conducting inspections of explosion-proof equipment; - Providing consultations by highly qualified specialists; - Operation of a service center for repair and overhaul of explosion-proof equipment.
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THE ROLE OF CORPORATE CULTURE IN ORGANIZATIONAL CHANGE MANAGEMENT
(Nazarbayev University Graduate School of Business, 2016-11) Koishanova, Raushan
This thesis presents the role of corporate culture in organizational change management. The objective is to study the existing corporate culture of the Republican State Enterprise “Kazakhstan temir zholy” (hereinafter referred to as KTZ) and demonstrate the role of KTZ’s corporate culture in change management in the context of KTZ Business Transformation Programme.
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PRODUCTION MANAGEMENT ORGANIZATION THROUGH THE HUMAN RESOURCES PRISM
(Nazarbayev University Graduate School of Business, 2016-11) Tussupbekov, Olzhas
Over the past ten years we have seen how global corporations and their management practices are passing through serious tests. There is an urgent need to improve performance, to manage complex integrations, to reduce costs, to increase revenues and to make strategic decisions. Volatility on the financial and energy markets has led to occurrence of new requirements to companies and to the effectiveness of top and middle level managers...