Assessment of the influence of internal and external factors on the Kazakhstan stock market

The purpose of this study is to identify internal and external factors and assess their impact on the dynamics of the Kazakhstan stock market.

Research methodology. The work used comparative analysis, multiple regression analysis and factor analysis. Internal factors included real GDP growth rates, inflation rate and the national currency exchange rate. External factors were represented by world oil prices, the Russian ruble exchange rate and the Russian stock index.

Originality/value of the study. The study provides valuable information on the dynamics of the Kazakhstan stock market and its dependence on key macroeconomic indicators. These data can be used to improve forecasting methods and decision-making in the market, which is important for investors and analysts.

Research results. Based on the level of volatility and average yield, the entire analyzed period was divided into three sub-periods: favorable or a period of rapid market growth, unfavorable or a period of decline, and a period of moderate favorability or market recovery. The results of the analysis showed that the inflation rate and the Russian stock index have a significant impact on the Kazakhstan stock market. Inflation has the greatest impact, contributing to the growth of the index when its level increases. The Russian stock index also has a significant impact, demonstrating a high correlation with the KASE index. At the same time, the national currency rate and world oil prices showed a weak impact on the Kazakhstan stock market. A correlation matrix of returns of the main world stock indices was constructed.

1. Arynova, Z., Galieva, A., & Sadu, Zh. (2022). Kazakhstan securities market: basic parameters and development trends. Bulletin of the Kazakh University of Economics, Finance and International Trade, 3(48), 206. https://doi.org/10.52260/2304-7216.2022.3(48).26

2. Box, G. E. P., & Jenkins, G. M. (1976). Time Series Analysis: Forecasting and Control (2nd ed.). San Francisco: Holden-Day.

3. Fedorova, E. A., & Buzlov, D. A. (2013). Prognozirovanie fondovogo rynka Rossiyskoy Federatsii s pomoshch'yu GARCH-modelirovaniya. Finansovaya analitika: problemy i resheniya, (16).

4. Kouaissah, N., Orlandini, D., Ortobelli, S., & Tichý, T. (2020). Theoretical and practical motivations for the use of the moving average rule in the stock market. IMA Journal of Management Mathematics, 31(1).

5. Shahbaz, P., Ahmad, B., Atani Reza, E., & Moghaddam Jalal, J. (2014). Stock market forecasting using artificial neural networks. European Online Journal of Natural and Social Sciences, 2(3s), 2404-2411.

6. Noskov, S. I. (2021). Metod smeshannogo otsenivaniya parametrov lineynoy regressii: osobennosti primeneniya. Vestnik VGU. Seriya: Sistemnyy analiz i informatsionnye tekhnologii, (1), 126-132.

7. Davnis, V. V., & Dobrina, M. V. (2019). Rangovyy portfel'nyy analiz. Sovremennaya ekonomika: problemy i resheniya, (3), 21-36.

8. Galustyan, M. Zh. (2016). Ispol'zovanie metoda glavnykh komponent pri otbore faktorov dlya prognozirovaniya fondovogo rynka Rossii. Izvestiya TulGU. Ekonomicheskie i yuridicheskie nauki, (2-1).

9. Kerimbek, G., Mahfudz, A., & Yerkhanova, B. (2023). The main problems and ways of development of the exchange market of the Republic of Kazakhstan. Kyzylorda University Named After Korkyt Ata, 3(3).

10. Information about historical data of KASE // Investing.com. Retrieved August 10, 2024 from URL: https://ru.investing.com/indices/kase-historical-data

11. Fedorova, E. A. (2010). Vliyanie makroekonomicheskikh faktorov na fondovyy rynok Rossii. Problemy prognozirovaniya, № 2,78–83.

12. Fedorova, E. A. (2013). Otsenka vliyaniya fondovykh rynkov SSHA, Kitaya i Germanii na fondovyy rynok Rossii. Ekonomicheskiy analiz: teoriya i praktika, 47(350).

13. Lukasevich, I. Ya. (2020). Issledovanie zavisimostey i otsenka vliyaniya mirovykh fondovykh rynkov na fondovyy rynok Rossii. Ekonomika. Nalogi. Pravo, (4).

14. Kumar, R. (2013). The effect of macroeconomic factors on Indian stock market performance: A factor analysis approach. Journal of Economics and Finance, 1(3), 14-21.

15. Celebi, K., & Hönig, M. (2019). The impact of macroeconomic factors on the German stock market: Evidence for the crisis, pre- and post-crisis periods. International Journal of Financial Studies, 7(2). https://doi.org/10.3390/ijfs7020018

16. Demir, C. (2019). Macroeconomic determinants of stock market fluctuations: The case of BIST-100. Economies, 7(1), 8. https://doi.org/10.3390/economies7010008

17. Information about market. (n.d.). Retrieved August 10, 2024 from URL: https://ru.investing.com/markets/

18. Information about economics. (n.d.). Byuro natsional'noy statistiki Agentstva po strategicheskomu planirovaniyu i reformam Respubliki Kazakhstan. Retrieved August 10, 2024 from URL: https://stat.gov.kz/ ru/industries/economy/