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Comparative Analysis of the Volatility Structures of the Stock Prices of Energy Companies Traded on the Kazakhstan Stock Exchange and International Gold and Oil Prices

Author

Listed:
  • Zamzagul Sultanova

    (Zhangir Khan West Kazakhstan Agrarian-Technical University, Uralsk, Kazakhstan)

  • Galimzhan A. Pazilov

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

  • Lyailya Baibulekova

    (Kenzhegali Sagadiyev University of International Business, Almaty, Kazakhstan)

  • Gulzhakhan Kassymbekova

    (Turan University, Almaty, Kazakhstan)

  • Gulnar Lukhmanova

    (Zhetysu University named after I. Zhansugurov, Taldykorgan, Kazakhstan)

  • Gulmira Issayeva

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

  • Kundyz Myrzabekkyzy

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

Abstract

The return of its stock exchange and the companies traded within are one of the important indicators for a national economy. Due to the global structure of stock markets, returns are closely related to both national and international market variables. This study makes a comparative analysis of the volatility structures of the energy companies traded in the Kazakhstan Stock Exchange (KASE) and the combined stock market index and gold and oil prices in international markets for the period between January 01, 2021, and June 31, 2023. The research focused on two issues. The first is the analysis of the volatility structure of the six series examined. For this purpose, four different models were examined. The second focus is to determine whether the returns in international indices have a causal effect on the Kazakhstan stock market (composite stock market index) and the returns of oil and energy companies traded in the stock market. The results revealed that other indices and returns have a similar variable variance structure, except for the KASE. The relevant coefficient estimation was found to be significant in both conditional standard deviation models for the KASE index. The coefficient estimate of the GARCH-M(1,1) model in the OIL index was significant, whereas conditional standard deviation models and the relevant coefficients of both conditional standard deviation models were found to be statistically insignificant in the other returns. This is an indication of the structural compatibility of Kazakhstan's stock market composite index and energy and oil companies with international markets. Furthermore, the causality analysis results showing that international indices have a causal effect on KASE and KZAP is another indicator that the Kazakhstan market works in harmony with the international markets.

Suggested Citation

  • Zamzagul Sultanova & Galimzhan A. Pazilov & Lyailya Baibulekova & Gulzhakhan Kassymbekova & Gulnar Lukhmanova & Gulmira Issayeva & Kundyz Myrzabekkyzy, 2024. "Comparative Analysis of the Volatility Structures of the Stock Prices of Energy Companies Traded on the Kazakhstan Stock Exchange and International Gold and Oil Prices," International Journal of Energy Economics and Policy, Econjournals, vol. 14(1), pages 21-30, January.
    • Handle: RePEc:eco:journ2:2024-01-4
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    Cited by:

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    2. Aina B. Aidarova & Aissulu Nurmambekovna Ramashova & Karlygash Baisholanova & Galiya Jaxybekova & Aliy Imanbayev & Indira Kenzhebekova & Dinmukhamed Kelesbayev, 2024. "Relationship between Oil Price, Inflation, and Economic Growth in BRICS Countries: Panel Cointegration Analysis," International Journal of Energy Economics and Policy, Econjournals, vol. 14(6), pages 24-31, November.
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    More about this item

    Keywords

    Kazakhstan; Kazakhstan Stock Exchange; Renewable Energy; Gold; Oil; Autoregressive Conditional Heteroskedasticity; Generalized Autoregressive Conditional Heteroskedasticity; Granger Causality;
    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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