INVESTMENT RISKS OF FRONTIER AND EMERGING STOCK MARKETS

Abstract

Purpose – the aim of the study is to increase the investment attractiveness of the Kazakhstan Stock Exchange.
Methodology – when measuring the autonomous risks of individual markets, indicators were used: aver-age market yield, portfolio variance, standard deviation and coefficient of variation; correlation and regression analyzes was used to determine the relationship between stock indexes. The observations were carried out on 15 stock markets, the study period is 10 years from 2008 to 2017 (120 monthly observations). Calculations were performed using the GRETL software. In the models, the following statistical indicators were used: Tstatistics, P-value (F), Schwartz criteria, Akaike and others.
Originality / value – (i) integration with specific stock exchanges will lead to an improvement in the position of Kazakhstani investors in both increasing profits and reducing risks; (ii) in the obtained scientifically-based conclusions about the investment characteristics of the Kazakhstan Stock Exchange in terms of profitability, which is greatly underestimated, due to the systematic devaluation of the national currency and in the long term (excluding dividend yield); (ii) placing Kazakhstan shares at the stock exchanges of developed countries, including the London (London Stock Exchange) and Paris (Euronext Paris) stock exchanges, is not scientifically justified, this practice leads to a decrease in the value of shares.
Findings – as a result of the study, the authors identified that: (i) integration is preferable to be carried out by outputting the relevant indices at KASE: this will create an additional tax effect for Kazakhstani in-vestors; (ii) in order to increase the value of companies, capitalization of the stock market, it is necessary to place companies at KASE, with large investments in intellectual capital.