caerCentral Asian Economic ReviewCentral Asian Economic Review2789-43982789-4401Университет Нархоз10.52821/2789-4401-2025-6-186-195caer-1680Research ArticleИНВЕСТИЦИИ, ФИНАНСЫ И УЧЕТINVESTMENT, FINANCE AND ACCOUNTINGКоэффициент соотношения рост/падение и доходности акций на рынке КазахстанаAdvance decline ratio and stock returns in Kazakhstan stock markethttps://orcid.org/0000-0001-8608-488XИмачиковИ. И.ImachikovI. I.

Алматы

Issabayev Murat – PhD, Professor.

Almaty

murat.isabayev@narxoz.kzhttps://orcid.org/0009-0000-9439-4909ИсабаевМ. М.IssabayevM. M.

Алматы

Imachikov Ilyas – PhD student.

Almaty

ilyas.imachikov@narxoz.kzУниверситет НархозКазахстанNarxoz UniversityKazakhstan20252602202606186195Copyright © Имачиков И.И., Исабаев М.М., 20262026Имачиков И.И., Исабаев М.М.Imachikov I.I., Issabayev M.M.Данная работа распространяется под лицензией Creative Commons Attribution 4.0.This work is licensed under a Creative Commons Attribution 4.0 License.https://caer.narxoz.kz/jour/article/view/1680

Цель исследования – определить наличие статистически значимой взаимосвязи между показателем широты рынка (advance–decline ratio) и доходностью индекса KASE.

Методология – регрессионный анализ методом наименьших квадратов с использованием недельных данных за период 2019 – 2023 гг.

Оригинальность / ценность исследования – несмотря на широкое применение показателей широты рынка на развитых финансовых рынках, основываясь на нашем анализе литературы, эмпирические исследования их взаимосвязи с доходностью на фондовом рынке Казахстана практически отсутствуют. Настоящее исследование восполняет данный пробел, расширяя эмпирическую базу по рынку акций Казахстана.

Результаты исследования – выявлено наличие слабой, но статистически значимой взаимосвязи между доходностью индекса KASE и показателем ADR, что подтверждается низким значением коэффициента бета и показателем R2 на уровне 0,22. Полученные результаты согласуются с выводами предыдущих исследований на развитых финансовых рынках и практическими наблюдениями, согласно которым показатель широты рынка (ADR) не является определяющим фактором ценовой динамики, а выступает вспомогательным индикатором. В частности, улучшение показателя ADR сигнализирует о более устойчивом потенциальном восходящем тренде на фондовом рынке, характеризующимся большей продолжительностью и устойчивостью по сравнению с краткосрочными ценовыми колебаниями.

Purpose of the research is to identify whether there is a significant relationship between the advance decline ratio (ADR) and returns on KASE index.

Research methodology – least squares regression analysis was performed using weekly data for 2019-2023 period.

Originality/value of the research – although market breadth is widely implemented in developed financial markets, to the best of our knowledge, there are no studies on analysis of the relationships in Kazakhstan stock market particularly, this study adds to the existing knowledge base by examining the relationships in Kazakhstan equity market.

Findings – our findings suggest that there is a weak, but significant relationship between returns on KASE index and ADR, provided the low beta and R2 of 0.22, in line with other studies and practical observations, suggesting that ADR is not a driving factor for the stock price moves but rather an accompanying signal which can be used to strengthen the conclusions about potential stock market trends, specifically, investors should pay attention that any uptrend in the stock market is associated with improving ADR leading to more robust and longer trends rather than short term weak price spikes.

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The authors declare that there are no conflicts of interest present.