Advance decline ratio and stock returns in Kazakhstan stock market

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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