Abstract:

Abstract Kazakhstan Stock Exchange (KASE) is established on November 17, 1993, with the participation of 23 leading Kazakh banks under the leadership of the National Bank of the Republic of Kazakhstan. KASE has had an important position in the country's economy since then. This study comparatively analyses the volatility structures of the return of the KASE Composite Index and the returns of the oil and energy companies traded in the KASE in the period between 5.01.2021 and 4.01.2023. The preliminary test (ARCH LM) showed that the volatility structure of the past period is effective on the current period in all four returns. Based on this finding, the structure of the series was evaluated with four different models. All four return series conformed with the GARCH-M (1, 1) model. Accordingly, the finding that oil and energy companies and the stock market composite index have the same volatility structure is important for investor decisions. Moreover, the finding that any past financial shock or volatility fluctuation affects the current return will positively affect the estimation of the future value of financial assets. Downloads Download data is not yet available. Downloads FULL TEXT Published 2023-03-24 How to Cite Sabenova, B., Baubekova, I., Issayeva, G., Bigeldiyeva, Z., & Bolganbayev, A. (2023). Comparative Analysis of Volatility Structures of Stock Index and Energy Company Returns in Kazakhstan. International Journal of Energy Economics and Policy, 13(2), 200–206. https://doi.org/10.32479/ijeep.14054 More Citation Formats ACM ACS APA ABNT Chicago Harvard IEEE MLA Turabian Vancouver Download Citation Endnote/Zotero/Mendeley (RIS) BibTeX Issue Vol. 13 No. 2 (2023) Section Articles License Submission of an article implies that the work described has not been published previously , that it is not under consideration for publication elsewhere, that its publication is approved by all authors and tacitly or explicitly by the responsible authorities where the work was carried out, and that, if accepted, will not be published elsewhere in the same form, without the written consent of the Publisher. The Editors reserve the right to edit or otherwise alter all contributions, but authors will receive proofs for approval before publication. Most read articles by the same author(s) Dinmukhamed Kelesbayev, Kundyz Myrzabekkyzy, Artur Bolganbayev, Sabit Baimaganbetov, The Effects of the Oil Price Shock on Inflation: The Case of Kazakhstan , International Journal of Energy Economics and Policy: Vol. 12 No. 3 (2022) Dinmukhamed Kelesbayev, Kundyz Myrzabekkyzy, Artur Bolganbayev, Sabit Baimaganbetov, The Impact of Oil Prices on the Stock Market and Real Exchange Rate: The Case of Kazakhstan , International Journal of Energy Economics and Policy: Vol. 12 No. 1 (2022) Artur Bolganbayev, Kundyz Myrzabekkyzy, Sabit Baimaganbetov, Dinmukhamed Kelesbayev, The Effect of Oil Prices on the Economic Growth of Oil Exporting Countries Bordering the Caspian Sea: Panel Data Analysis , International Journal of Energy Economics and Policy: Vol. 11 No. 6 (2021) Artur Bolganbayev, Baltaim Sabenova, Gulmira Mombekova, Gulnur Sultankhanova, Tazhibayeva Raikhan Musamatovna, The Effect of Electricity Generation, Thermal Energy Production, Fixed Capital Investment, and Consumer Price Index on Economic Growth in Kazakhstan , International Journal of Energy Economics and Policy: Vol. 12 No. 6 (2022) Gaukhar Niyetalina, Elmira Balapanova, Almas Kuralbayev, Gulnar Lukhmanova, Artur Bolganbayev, The Relationship of Energy Generation from Fossil Fuels, Low Carbon Resources, and Renewable Resources and Inflation within the Framework of Taylor’s Rule: The Case of Kazakhstan , International Journal of Energy Economics and Policy: Vol. 13 No. 4 (2023) Make a Submission Make a Submission Dergi Kapağı

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