SEASONALITY EFFECTS IN KAZAKHSTAN STOCK EXCHANGE (KASE) INDEX
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Date
2021-02-11
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