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The Relationship between the Return of Energy Companies Listed on the Kazakhstan Stock Exchange and the Exchange Rate, KASE Index, and Gold Return: ARDL Bounds Value Approach

Author

Listed:
  • Baltaim Sabenova

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

  • Lyazat Talimova

    (Karaganda University of Kazpotrebsoyuz, Karaganda, Kazakhstan)

  • Meruert Kanabekova

    (Abai Kazakh National Pedagogical University, Almaty, Kazakhstan)

  • Dilyara S. Zhakipbekova

    (Mukhtar Auezov South Kazakhstan University, Shymkent, Kazakhstan)

  • Gulnara Seitova

    (A. Baitursynov Kostanay Regional University, Kostanay, Kazakhstan)

  • Gulbana Erzhigitovna Maulenkulova

    (Mukhtar Auezov South Kazakhstan University, Shymkent, Kazakhstan)

  • Artur Bolganbayev

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

Abstract

In a free market economy, stock market indices are influenced not only by national economic developments, but also by economic indicators such as gold, exchange rates, and oil. It is important to consider these indicators when analyzing the returns of companies traded on the stock exchange. Internal factors that impact stock market returns include the company's estimated earnings and changes in the company's financial structure. External factors include macroeconomic variables such as exchange rates, interest rates, gold prices, and Gross Domestic Product (GDP). A study analyzed the relationship between the returns of energy companies traded on KASE and the KASE index, exchange rate, and gold return during the period of 01.01.2023-01.04.2024 (328 trading days) using the ARDL Bounds Value Approach. The research findings indicate that the stock market composite index, foreign exchange, and gold returns have a long-term effect on the returns of energy companies. Particularly, the long-term effect of the stock market composite index return is found to be significant and positive for all three assets. Additionally, the effect of companies' past values has been observed as negative. According to the error correction model analysis, a key finding is that shocks to company returns will reach equilibrium in a short time, approximately one trading day. These results can provide decision support, especially for investors, when investing in energy companies.

Suggested Citation

  • Baltaim Sabenova & Lyazat Talimova & Meruert Kanabekova & Dilyara S. Zhakipbekova & Gulnara Seitova & Gulbana Erzhigitovna Maulenkulova & Artur Bolganbayev, 2024. "The Relationship between the Return of Energy Companies Listed on the Kazakhstan Stock Exchange and the Exchange Rate, KASE Index, and Gold Return: ARDL Bounds Value Approach," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, vol. 14(5), pages 131-140, September.
    • Handle: RePEc:eco:journ2:2024-05-13
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    Citations

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    Cited by:

    1. Pirmanova, Zhansulu & Niyazbekova, Roza K. & Yerekeyeva, Svetlana & Sabenova, Baltaim N. & Isatayeva, Gulzhan & Abuov, Kairat & Bolganbayev, Artur, 2025. "An Analysis on the Connection between Sustainable Development and Per Capita Greenhouse Gas Emissions, PM2.5 Exposure, and Renewable Energy Consumption in Kazakhstan Using the Nonlinear Cointegration (NARDL) Method," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, vol. 15(5), pages 246-254, August.
    2. Lukhmanova, Gulnar & Urazymbetov, Bauyrzhan & Sarsenova, Akmaral & Zaitenova, Nazym & Seitova, Vilena & Baisholanova, Karlygash & Bolganbayev, Artur, 2024. "Investigating the Relationship between Energy Consumption and Economic Growth Using Toda-Yamamoto Causality Test: The Case of Kazakhstan and Azerbaijan," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, vol. 15(1), pages 374-383, December.
    3. Turlybekova, Altynai & Sarsenova, Akmaral E. & Baineyeva, Parida & Aitymbetova, Ainura N. & Abdibekov, Saken Ualikhanovich & Tazhibayeva, Raikhan Musamatovna & Duisenbek, Daniyal, 2025. "Oil Price Shocks, Exchange Rate Fluctuations, Foreign Direct Investment Inflows, and Macroeconomic Stability: Evidence from Kazakhstan Using a Vector Autoregressive Approach," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, vol. 16(1), pages 774-780, December.
    4. Baisholanova, Karlygash Sovetovna & Dauzova, Aida Mazhidovna & Kazan, Halim & Myrzabekkyzy, Kundyz & Tazhibayeva, Raikhan Musamatovna & Sarsenova, Akmaral E. & Utebayeva, Zheniskul A. & Nurgabylov, Mu, 2025. "Asymmetric Relationship between Oil Prices, Agricultural Production, and Industrial Production in Kazakhstan: Application of the NARDL Method," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, vol. 15(4), pages 465-471, June.
    5. Issayeva, Gulmira & Zhussipova, Elmira Y. & Pazilov, Galimzhan A., 2025. "An Analytical Study on the Stability Properties of Energy Consumption from Fossil Fuels: A Panel Stability Test and Zivot-Andrews Unit Root Test Approach in the Context of BRICS Nations," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, vol. 15(4), pages 1-10, June.

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    Keywords

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    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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