SEASONALITY EFFECTS IN KAZAKHSTAN STOCK EXCHANGE (KASE) INDEX

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dc.contributor.authorMutkarim, Assem
dc.contributor.authorNursalim, Madina
dc.contributor.authorOrumbayeva, Sara
dc.date.accessioned2023-12-27T08:31:37Z
dc.date.available2023-12-27T08:31:37Z
dc.date.issued2021-02-11
dc.description.abstractWe 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.en_US
dc.identifier.citationOrumbaeva, Sara et al. (2021). Seasonality effects in Kazakhstan stock exchange (kase) index. Nazarbayev University, Graduate School of Businessen_US
dc.identifier.urihttp://nur.nu.edu.kz/handle/123456789/7569
dc.language.isoenen_US
dc.publisherNazarbayev University, Graduate School of Businessen_US
dc.rightsAttribution-NonCommercial-NoDerivs 3.0 United States*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/us/*
dc.subjectKASen_US
dc.subjectSEASONALITY EFFECTSen_US
dc.subjectType of access: Restricteden_US
dc.titleSEASONALITY EFFECTS IN KAZAKHSTAN STOCK EXCHANGE (KASE) INDEXen_US
dc.typeMaster's thesisen_US
workflow.import.sourcescience

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