02. Master's Thesis
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Item Embargo THE ECONOMIC IMPLICATIONS OF DIGITAL TENGE ON MONETARY POLICY IN KAZAKHSTAN(Nazarbayev University Graduate School of Business, 2024-12-11) Kalaganova, NurdanaThis paper analyzes the economic implications of Digital Tenge (DT) introduction on the monetary policy of Kazakhstan. The research mainly focuses on formulating suggestions for the cost and distribution of DT. Optimal suggestions are derived by analyzing the effect of various options for cost and possible distribution limitations on economic agents’ welfare. The analysis reports minor positive welfare gains in the case of costless DT (from 0.0010% to 0.0040%) with a slightly higher welfare achieved and cost range possible through allowing only 20% of the population to carry DT.Item Embargo MEASURING HIGH- AND LOW-FREQUENCY STOCK MARKET LIQUIDITY IN A FRONTIER MARKET: THE CASE OF KAZAKHSTAN(Nazarbayev University Graduate School of Business, 2024-12-12) Abdullina, Medina; Mendygaliev, KaiyrbekThis paper investigates the relationship between high-frequency and low-frequency liquidity measures in a frontier market, specifically Kazakhstan. Using one year of trade and quote data from two exchanges – the Astana International Exchange (AIX) and the Kazakhstan Stock Exchange (KASE) – covering eight and nine stocks, respectively, we find that Abdi Ranaldo's daily liquidity measure emerges as the most effective low-frequency proxy for intraday liquidity in this frontier market.Item Open Access THE EFFECT OF MONETARY POLICY REGIME ON THE DEVELOPMENT OF THE ECONOMY(Nazarbayev University Graduate School of Business, 2024-12) Qaiyrzhan, MaqsatThis work investigates how the Kazakhstani economy is affected by the monetary regimes, given the susceptibility to volatile oil prices and foreign capital flows. Dynamic Stochastic General Equilibrium Model (DSGE) was utilized to analyze the effect of shocks on real GDP, consumption, investment, wages, exports, imports, prices, and real exchange rates. Next, the effectiveness of fixed exchange rates, inflation targeting, strict inflation targeting, and hybrid inflation targeting monetary policy regimes in smoothing the impulse of shocks on the above-mentioned variables. The results suggest that hybrid inflation targeting regime has relatively better performance.Item Open Access IS THERE EVIDENCE OF A CARBON PREMIUM IN THE STOCK MARKETS OF EMERGING ECONOMIES?(Nazarbayev University Graduate School of Business, 2024-12-12) Kessikbay, AruzhanThis thesis aims to determine the existence of carbon premium in the stock markets of emerging economies that have different financial and regulatory systems than the developed markets. The current study employs portfolio sorting and panel regression analyses to examine the linkage between stock returns and carbon emissions with the help of absolute levels and intensity of emissions. The findings of this study reveal that intensity of emissions as a size matched variable is a better explanatory factor of returns than the levels of emissions. While brown portfolios generally outperform green portfolios, the carbon premium varies across countries, being significant in some (e.g., Brazil) and absent in others. These findings offer insights for sustainable investment strategies and policymaking in emerging markets.Item Open Access UTILIZATION OF MACHINE LEARNING FOR EMPIRICAL ASSET PRICING IN EMERGING MARKETS(Nazarbayev University Graduate School of Business, 2024-12-12) Adilov, DastanWe perform Principal Component Regression (PCR) analysis to predict cross-sectional stock returns in emerging market economies. As a benchmark comparison, we employ OLS models and demonstrate predictive power of the machine learning based PCR model. We utilize 64 firm characteristics to determine the most significant predictors for the emerging market countries as well as for individual countries. The results, demonstrate predictive power of the PCR model over the linear regression model, showing consistent results in both the country-specific analysis and in the overall analysis of the emerging market. The most important set of predictors throughout the analysis proved to be book-to-market, sales-to-price, leverage (lev), cash flow-to-price (cfp), dividends (dy), and gross profitability (gma).Item Embargo TRANSITION RISK PREMIUM(Nazarbayev University Graduate School of Business, 2024-12-12) Rustemova, TumarayThis study explores the relationship between climate exposure measures and the cross-section of emerging market companies' returns. It focuses on 1,370 companies from 24 emerging market countries, including Kazakhstan. By merging two unique datasets from Refinitiv Eikon on corporate fundamentals and Sautner et al. (2023) on exposure measures, constructed from earnings call transcripts, for the 2002-2023-year period, the study uncovers a meaningful discovery: the higher the overall exposure measure which incorporates opportunities, regulatory frameworks, sentiment, and physical measures related to climate change, the higher the returns, even when controlling for the size, book-to-market, and other return determinants. This finding suggests a significant transition risk premium. This premium, distinct from carbon risk premium, reflects investors’ trust, reward, and compensation for firms that actively strive to mitigate climate risks and innovate to meet sustainability standards. It is interesting to note that opportunity and physical exposure measures related to climate change have zero effect on stock returns, indicating their uncertain, long-term, and localized nature. Importantly, these findings serve as evidence for the growth potential of emerging market countries considering the challenges of transitioning to a low-carbon economy. This research is important because it posits the significance of incorporating climate risk management into financial plans to assure investor confidence and sustainable growth.Item Open Access 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, BakytThis 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.Item Embargo RETAILER HETEROGENEITY IN OPTIMAL INFLATION IN KAZAKHSTAN(Nazarbayev University Graduate School of Business, 2024-12-11) Argynbek, AselThis paper studies the retailer heterogeneity in optimal inflation in Kazakhstan. Adam and Weber's (2022) relative price trend model is applied to AC Nielsen Urban Kazakhstan data for the 2019-2022 period. The results highlight significant variations in optimal rates across outlets, varying from -0.79 to 2.13%, suggesting the importance of retailers in estimating the national-level inflation rate. Also, the paper calculated national-level inflation in two ways: 1) by aggregating prices using equal weights for outlets and 2) by aggregating scanner data by weighting prices using product categories' expenditure weights for given outlets. Two approaches generate 4.9% and 1.6% optimal rate, respectively. This shows the importance of accounting for the expenditure weights of retailers in tailoring optimal inflation, and a uniform target may only partially capture pricing behavior across outlets.Item Embargo EMPIRICAL ASSET PRICING: SUSTAINABLE INVESTING IN EMERGING MARKET(Nazarbayev University Graduate School of Business, 2024-12-12) Duolikun, KelanThis thesis explores the potential role for sustainable investing and in emerging markets more broadly, while looking at how environmental, social and corporate governance (ESG) factors affect asset pricing. The study takes a look at how a relative greenness score, which is derived from the Eikon data from 2014 to 2024, perform green and brown portfolios across industries and countries. The results indicate brown portfolios outperform green portfolios in terms of cumulative returns and there is increasing interest in ESG practice in emerging markets. The performance of green-minus-brown (GMB) portfolios cannot be explained fully by traditional asset pricing models, suggesting the use of alternative models. Overall, this research is filling a substantial gap in research on sustainable investing by exploring the challenges and opportunities of sustainable investing in emerging markets, which have higher geographical risks.Item Open Access ANALYZING BOND YIELD SPREAD DYNAMICS IN KAZAKHSTAN AND RUSSIA: A STUDY AMID REGIONAL UNCERTAINTIES(Nazarbayev University Graduate School of Business, 2024-12-12) Mashirapov, DarkhanThis thesis examines the determinants of bond yield spreads between corporate and government bonds with maturities of 1, 5, and 10 years in Kazakhstan and Russia. The study utilizes regression analysis to explore how macroeconomic factors and their lags influence these spreads, providing insights into the dynamics of fixed-income markets in both countries. Key explanatory variables include growth rates, macroeconomic ratios such as gross international reserves to GDP, and exchange rate volatilities, among others. A significant component of this research focuses on the geopolitical and economic impact of the Russian invasion of Ukraine, captured through the inclusion of a war dummy variable to assess shifts in bond market behavior post-February 2022. In addition to analyzing bond spreads within each country, the study investigates cross-country dynamics by modeling the differences between Russia's corporate bond index yield and Kazakhstan's corporate bond index yield. To capture the long-term equilibrium relationship between these spreads and macroeconomic determinants, cointegration techniques are used. The findings suggest that macroeconomic indicators, such as GDP growth rates, international reserve ratios, and exchange rate movements, play a critical role in shaping bond yield spreads. Moreover, the results indicate that the Russian invasion of Ukraine significantly altered the determinants and behavior of bond spreads, highlighting the sensitivity of financial markets to geopolitical events. This study contributes to the understanding of bond market dynamics in emerging economies and offers a framework for policymakers and investors to evaluate risk and return in the presence of economic and geopolitical shocks.Item Embargo THE PREDICTIVE POWER OF EXTREMES IN INFLATION EXPECTATIONS: A STUDY OF KAZAKHSTAN'S INFLATION ANCHORING(Nazarbayev University Graduate School of Business, 2024-12-12) Bekov, DastanThis thesis examines the predictive power of extreme inflation expectations on actual inflation in Kazakhstan. Using National Bank of Kazakhstan (NBK) survey data and key macroeconomic indicators from 2016 to 2024, the study assesses whether extreme expectations provide better forecasting accuracy than median expectations. A vector autoregressive (VAR) framework is used to model inflation using median, extreme, and combined values of inflation expectations. Out-of-sample forecasts show that extreme values outperform median values in predicting actual inflation, highlighting their relevance during periods of increased inflation volatility. The results highlight the limitations of relying solely on average expectations and underscore the value of including extreme values for a more nuanced perception of future inflation. By demonstrating the importance of extreme values in inflation expectations household survey, this study offers actionable insights for improving the NBK’s inflation forecasting methods and enhancing the effectiveness of inflation targeting policy in Kazakhstan.Item Embargo THE IMPACT OF EXTERNAL SHOCKS ON THE INTERNATIONAL TRADE OF KAZAKHSTAN: RUSSIAN-UKRAINE WAR CASE(Nazarbayev University Graduate School of Business, 2024-12-12) Abdraman, AzamatThis study examines the impact of international sanctions on trade flows in Kazakhstan following Russia's invasion of Ukraine in February 2022. Despite the sanctions imposed by the United States, the European Union, and NATO on Russia, Kazakhstan maintains strong logistical, cultural, and economic ties with its neighbor. The research focuses on how trade flows have been rerouted through Kazakhstan, particularly in regions bordering Russia, in order to circumvent the sanctions. Using monthly export data from 2017 to 2023, disaggregated at the 6-digit Harmonized System level, the study identifies fluctuations in the trade of sanctioned goods and assesses the economic consequences on neighboring areas and businesses. The findings reveal a significant increase in Kazakhstan's exports of sanctioned goods to Russia after March 2022, with exports rising by 109.5% compared to non-sanctioned products. Regional analysis highlights increased export activity in regions such as Aktobe, Kostanay, and East Kazakhstan, where logistical advantages likely play a role in facilitating these trade flows. Conversely, regions like Atyrau, which are heavily reliant on oil exports, experienced a decline in trade activity. Additionally, the study identifies a rise in business activity in areas benefiting from trade rerouting, particularly in Almaty and Aktobe, which saw notable growth in the formation of new business entities.Item Embargo DEVELOPMENT OF A MARKETING STRATEGY FOR THE CV AI SCANNER FOR TRANSTELECOM(Nazarbayev University Graduate School of Business, 2024-12-11) Kalmurzayeva, Dina; Mashpiyeva, Ainur; Nurbayev, Dayan; Kenzhekhanuly, ZhannurCVScanAI is a product that analyzes all CVs against a given vacancy with one click and assesses whether a candidate is suitable for the position. Before entering the market, it is essential to conduct a thorough market analysis. This analysis, which includes marketing research, aims to identify strategies and assess risks for the CVScanAI project (DaraAI). CVScanAI is an AI-powered CV analysis platform created by Transtelecom, a leading telecommunications company in Kazakhstan. With the growth and increasing interest in IT in Kazakhstan, it presents a promising location to establish this type of business. Government support also provides a strong foundation and high potential for success. This research aims to analyze how to launch this product. The analysis is based on various methods, including the Marketing Mix (4Ps), Porter’s Five Forces, financial analysis, and market research. The analysis of the CVSCanAI project involved a comprehensive evaluation of its market potential, financial viability, and operational efficiency. Market research was conducted to assess demand, pricing strategies, and customer preferences, including surveys of HR professionals to refine subscription models and product features. Financial projections were analyzed under conservative, moderate, and optimistic scenarios using Net Present Value (NPV) as the primary metric, revealing significant sensitivity to operational assumptions. Based on the gathered data, it is evident that this product has good potential in Kazakhstan. The results highlighted the need for strategic adjustments in cost management, revenue generation, and feature enhancement to ensure the product’s long-term sustainability and market success. A marketing advantage, such as the integration with hh.kz, is a current strength of the project. Quick market penetration, supported by proper project backing, will make the business strong and sustainable. While the main question of whether it is feasible to capture the recruitment market was addressed, other strategies for utilizing the current product were also analyzed. One high-potential area is providing feedback to individuals on how suitable they are for specific vacancies.Item Embargo TEZTAP INTELLECTUAL QUIZ NIGHTS: STRATEGIES FOR ENHANCING MARKETING, BRAND LOYALTY BY UNDERSTANDING CONSUMER BEHAVIOR(Nazarbayev University Graduate School of Business, 2024-12-09) Temirkairatkyzy, Gulzhazira; Shalabayeva, MaralThis report analyzes TEZTAP, a Kazakh-language intellectual quiz game platform, as part of a practicum project conducted by Master of Business Administration students from Nazarbayev University Graduate School of Business. TEZTAP has been organizing quiz events across Kazakhstan for more than 3 years, offering a unique culture and knowledge-based experience. However, the platform faces challenges such as limited brand visibility, problems with user retention, and growing competition in the quiz game space. This project aims to find meaningful answers on strategic ways we can expand TEZTAP's audience, accelerate its marketing activities, and enhance profitability. The first stage was dedicated to analyzing the intellectual quiz game market in Kazakhstan to understand current trends and audience interests. To derive demographic, motivational, and quiz opinion-related information, a survey of TEZTAP event participants was conducted in Astana. In addition, we examined competitors on social media and the TEZTAP owner's financial data to evaluate the company's position and potential areas for improvement. Major findings pointed out the possibility of simplifying the game instructions, broadening the scope of the marketing channels used, as well as the inclusion of more engaging features to attract a wider audience. This included review of financial data such as revenue sources and expense frameworks with a goal of identifying opportunities for additional profit. Building on these insights, the report offers strategic recommendations categorized by themes of marketing, value enhancement, operations, and potential new revenue streams. We then devised recommendations and classified them into buckets like marketing, customer value, operations, and new revenue streams. We created a new NPV calculation based on these recommendations.Item Open Access GO-TO-MARKET STRATEGY FOR PROITIVITY TO ENTER IT EDUCATIONAL SECTOR IN KAZAKHSTAN AND ABROAD(Nazarbayev University Graduate School of Business, 2024-12-09) Toktagulova, Aigerim; Kartbayev, Almas; Zhaparova, Aray; Tkachenko, Natalia; Dilixiati, RenaThe current digital era dictates its own rules with the demand for experienced IT professionals, driven by the rapid development of technology in all industries. To solve this problem, the Government of Kazakhstan has launched the TechOrda program, intending to train 100,000 IT specialists by 2025. The newly established ProITivity School of Information Technology joined this mission by receiving vouchers from the government for free tuition. However, given that the program ends next year and the number of vouchers is limited, ProITivity recognizes the need for a more sustainable and diversified strategy. This project explores how ProITivity can abandon its dependence on government funding and enter the B2B and B2C markets, targeting adult and younger students throughout Kazakhstan and abroad. The main goal is to develop a market entry strategy that positions ProITivity as a leading provider of IT education services, even though it goes beyond government support. The main areas of work include identifying competitive advantages, improving customer segmentation, and developing a pricing model that considers both short-term and long-term goals. Initial results show that Kazakhstan represents an attractive but competitive market landscape, where numerous providers of EdTech services already work in educational institutions. Competitor analysis identifies gaps in specific training modules, and pricing analysis points to potential entry points. Two strategies are proposed based on a deep primary and secondary data analysis. The first is to keep and promote the same product with different marketing approaches. The second is updating the product so alumni are more experienced. Ultimately, these strategies will allow ProITivity to grow steadily and contribute to the development of Kazakhstan's digital workforce while exploring opportunities to expand the availability of IT education outside the country.Item Restricted TESTING THE NO-ARBITRAGE PARITY CONDITIONS FOR BITCOIN SPOT AND FUTURES PRICES(Nazarbayev University Graduate School of Business, 2023) Seifulov, ZhaxylykThe study investigates the no-arbitrage parity conditions in Bitcoin spot and futures markets, focusing on the efficiency of the spot-futures (SFP) and futures spread parity (FSP) models in estimating the Bitcoin futures prices. Utilizing data from the Chicago Mercantile Exchange (CME) and Binance exchange, the research analyzes the relationship between spot and futures prices of Bitcoin, moreover, examines the relationship between intramarket Bitcoin futures contracts. The study finds that the mean pricing error of SFP is greater than FSP, indicating the greater efficiency of FSP in pricing Bitcoin futures. It also explores arbitrage opportunities by testing the equality of means of the bid-ask spread and mispricing, revealing that arbitrage opportunities are not consistently present. Few exploitable arbitrage opportunities in bullish markets are found, but overall, the arbitrage profit is not feasible when considering the costs such as bid-ask spread.Item Open Access STATE OWNERSHIP AND COMPANY PERFORMANCE IN KAZAKHSTAN(Nazarbayev University Graduate School of Business, 2023) Seidazov, BalislamState ownership and its effects on firm performance have been researched widely across many countries and time periods, however, the results of these research endeavours have been mixed. While in some cases the relationship between state ownership and firm efficiency has been negative, in others it could be positive or even non-linear, having a U-shape. State ownership can be negatively correlated with firm performance, possibly because their objectives can differ from solely operating on high profit, some of them can be less profitable, yet, still efficient in their main mission. For instance, several studies mention that state ownership can have a negative effect on firm performance as these firms do not prioritize maximization of profits (dodonov, china1, ru1, oecd2017), instead they carry policy burdens and provide communal services (china1). On the other hand, state owned enterprises can take advantage of their closer ties to the government and its resources, which would make state ownership positively related to firm performance. According to several studies government ownership’s effect on firm effectiveness can be positive, because of their ability to access state owned capital (oecd, ru1) which would give them comparative advantage over privately held firms. Finally, there is an opinion which partially agrees with both sides and combines the two. A study titled “State ownership and firm performance: Empirical evidence from Chinese listed companies” by Mei Yu of the Birmingham City University, state ownership and firm performance have a U-shaped relationship (China2 84). RU1 also offers a similar opinion of the possibility of U-shaped and inverted U-shaped relationships between state ownership and firm performance.Item Restricted BUSINESS CYCLE AND GAS PRICES(Nazarbayev University Graduate School of Business, 2023) Kabkenova, ShahizadaThe theory of storage is essential for the prediction of spot and forward price changes. The research analyzes the theory through a stable energy source - natural gas. The hypothesis of the theory of storage implies that during low inventory, the current price is more volatile than future prices, while during high inventory periods, prices change equally. Moreover, spot prices greatly affect futures during high inventory periods. The theory also observes the negative relationship between inventory and the business cycle. This means that during business cycle peaks, inventory is low which causes an increase in prices. Current research observed the direct and indirect test of inventory to support the storage theory. The results for natural gas in the analysis of both approaches of inventory support the theory, while the business cycle has a minor effect on the prediction of prices..Item Restricted THE IMPACT OF OIL PRICE SHOCK ON AN OIL-EXPORTING SMALL ECONOMY: A CASE STUDY OF KAZAKHSTAN(Nazarbayev University Graduate School of Business, 2023) Aimanbetova, SaniyaThis study investigates the economic impact of external oil price shock on an oil exporting small economy in the case of Kazakhstan. The analysis is conducted using the SVAR model. Monthly data is used including the period from 1 January 1999 till 1 May 2023. The study demonstrates that an oil-exporting small country, such as Kazakhstan, is affected by global fluctuations in oil prices. The findings indicate that a rise in oil prices has a negative impact on the trade balance, leading to an immediate increase in the subsequent months. The real effective exchange rate exhibits occasional fluctuations but normally remains within a narrow range. Inflation experiences an initial rise during the first period (the impact period), followed by a subsequent decrease within a span of 5 months. The industrial production index exhibits a more prominent reaction to the oil price shock after a certain period of time, suggesting that fluctuations in oil prices may have a delayed impact on industrial production index.Item Restricted THE THEORY OF STORAGE IN THE PETROLEUM PRODUCTS FUTURES MARKET(Nazarbayev University Graduate School of Business, 2023) Kuttymuratova, NuriyaThe energy product markets exhibit significant price and inventory volatility. Some of these fluctuations are unpredictable, prompting market participants to employ futures contracts and inventories as tools for risk mitigation. For instance, there was a notable and unprecedented event in the oil markets in April 2020 when oil prices briefly turned negative due to substantial decrease in global oil demand: the West Texas Intermediate (WTI) crude oil futures for May delivery experienced a historic drop, closing at approximately - $37.63 per barrel(Reed and Krauss, 2021). Consequently, the spread between futures and spot prices, known as the basis, serves as a crucial indicator of setting the efficient hedging strategy, and deciding the time when to sell or buy in oil futures markets...