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The Relationship between the Highest Prices and Trading Volume in the Share Indices of Energy and Oil Companies in Kazakhstan

Author

Listed:
  • Elmira Y. Zhussipova

    (M.Auezov South Kazakhstan University, Shymkent, Kazakhstan)

  • Serikbay Saduakasuly Ydyrys

    (Khoja Akhmet Yassawi International Kazakh-Turkish University, Turkestan, Kazakhstan)

  • Ulmeken Makhanbetova

    (Khoja Akhmet Yassawi International Kazakh-Turkish University, Turkestan, Kazakhstan)

  • Gulzhanat Tayauova

    (Turan University, Almaty, Kazakhstan)

  • Zhansulu Pirmanova

    (Peoples Friendship University named after Academician A. Kuatbekov, Shymkent, Kazakhstan)

Abstract

This study uses econometric methods to reveal the relationship between the highest price formation and trading volume in the share indices of energy and oil companies traded on the Kazakhstan Stock Exchange (KASE). The study used daily transaction data of KEGC, KZAP, and KZTO companies for 200 trading days in 2022. The analysis is based on the VAR method. The shock effect analysis concluded that there is a mutual interaction between the trading volume and the highest price formation for all three companies. Trading volume had a causal effect on the highest price of only one company (KZTO). The existence of a correlation between the trading volume and the highest price formation is important for investment decisions. This can be interpreted as an indication of a connection between the trading volume and the highest price formation in KASE. More information on this relationship can be obtained by performing similar analyses for other companies traded in the KASE.

Suggested Citation

  • Elmira Y. Zhussipova & Serikbay Saduakasuly Ydyrys & Ulmeken Makhanbetova & Gulzhanat Tayauova & Zhansulu Pirmanova, 2023. "The Relationship between the Highest Prices and Trading Volume in the Share Indices of Energy and Oil Companies in Kazakhstan," International Journal of Energy Economics and Policy, Econjournals, vol. 13(3), pages 28-35, May.
    • Handle: RePEc:eco:journ2:2023-03-5
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Kazakhstan; KASE; Oil; Energy; Share Index; Transaction Volume; Price Formation; VAR Analysis;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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