African Journal of
Business Management

  • Abbreviation: Afr. J. Bus. Manage.
  • Language: English
  • ISSN: 1993-8233
  • DOI: 10.5897/AJBM
  • Start Year: 2007
  • Published Articles: 4094

Full Length Research Paper

The impact of macroeconomic indicators on stock exchange performance in Kazakhstan

Yessengali Oskenbayev1*, Mesut Yilmaz2 and Dauren Chagirov3
  1Center for Development Research (ZEF), Walter-Flex-Str. 3, 53113 Bonn, Germany. 2Department of Economics, Suleyman Demirel University, 19 Toraigyrov Street, 480043, Almaty, Republic of Kazakhstan. 3Credit Risks Department, Halyk Savings Bank of Kazakhstan, 109B Abay Avenue, Almaty, 050008, Republic of Kazakhstan.
Email: [email protected], [email protected]

  •  Accepted: 09 February 2011
  •  Published: 04 April 2011



This paper aims to investigate the causal relationship between macroeconomic indicators and Kazakhstan stock exchange (KASE) index. The results indicate the existence of cointegrations between these series implying violation of market efficiency hypothesis. The results of the study are in compliance not only with theory but also with the issues in practice. Using the bound testing approach, within the Autoregressive Distributed Lag (ARDL) model framework, we examine their long-run relationship. Johansen Cointegration test, Engel-Granger two-step approach and Granger causality test reveal that the main determinants of KASE are income per capita, inflation and the exchange rate and dummy variable accounting for worldwide crisis impact. Other effect on stock index comes from oil price volatility measure, causing windfall gain effect as a consequence of rapid, but temporary, increase in oil price.


Key words: KASE, stock market return, macroeconomic variables, natural resource curse.