The Influence of Macroeconomic Factors to the Dynamics of Stock Exchange in the Republic of Kazakhstan
The Influence of Macroeconomic Factors to the Dynamics of Stock Exchange in the Republic of Kazakhstan

Summary/Abstract: This article describes the influence of macroeconomic factors on Kazakhstan Stock Exchange Market byusing data from 2005 to 2014. Engle-Granger cointegration test has shown that stock index is cointegratedwith the exchange rate, interest rate, CPI and oil price. Vector error correction model has confirmed that macroeconomicvariables and the stock index has a long-term equilibrium relationship. Moreover, empirical resultshave shown that stock index can be used as a leading indicator of the economic situation in Kazakhstan.Therefore, the authors decided to consider the impact of major macroeconomic indicators to the dynamics ofthe stock market of the Republic of Kazakhstan. The Engle-Granger cointegration test results show that thefollowing variables such as exchange rate, 10-years long-term bond rate, the consumer price index and theBrent oil price are cointegrated with stock index, which means that there is a long-term relationship betweenthis stock market index and these variables. With the help of econometric models, the authors have found thefactors such as the exchange rate, the 10-year long-term bonds rate, the consumer price index and the Brentoil price (these factors have the long-term relationship with stock market index). Changes in the dynamics ofthe stock market index in Kazakhstan are caused by changes in the dynamics of Central bank's reserves andexport. The analysis has shown that the economy of the Republic of Kazakhstan (the index reflects the situationin the real sector of the economy) remains dependent on world oil prices, the volume of exports and therate of the national currency.

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