EMPIRICAL TEST ON MACROECONOMIC FACTORS AND STOCK MARKET ANALYSIS: CASE OF KAZAKHSTAN STOCK MARKET

Abstract: This paper analyzes the interactions between Kazakhstan stock market index and maroeconomic variables. The vector autoregressive model (VAR) is employed; Granger causality, impulse responses and variance decomposition tests are implemented. The results show weak interactions among tested variables and the market. The only variable that could be used as explanatory power for price movements in stock market is Exchange rate (EXR). This can be due to the export oriented firms’ power in the country. The weak explanatory power of other macrovariables can be interpreted as inefficiency in the local stock market.