SEASONALITY EFFECTS IN KAZAKHSTAN STOCK EXCHANGE (KASE) INDEX
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Date
2021-02-11
Authors
Mutkarim, Assem
Nursalim, Madina
Orumbayeva, Sara
Journal Title
Journal ISSN
Volume Title
Publisher
Nazarbayev University, Graduate School of Business
Abstract
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.
Description
Keywords
KAS, SEASONALITY EFFECTS, Type of access: Restricted
Citation
Orumbaeva, Sara et al. (2021). Seasonality effects in Kazakhstan stock exchange (kase) index. Nazarbayev University, Graduate School of Business