Macroeconomic Variables and Equity Market Relation: KASE example

Equity securities are among the most important investment instruments in terms of investors. For this reason, estimates of stock price movements concern closely both investors and researchers working in the field of finance. Until now, many empirical studies have been conducted on the factors affecting stocks in the literature for country and country groups but there are very few studies about Kazakhstan equity market. The reason is that Kazakhstan stock exchange (KASE) is a new stock exchange and on the other hand it is a newly emerging small stock exchange. In this study, the relationship between the five macroeconomic variables and the KASE stock market index was tried to be explained. The Method of Least Squares in order to determine the statistical significance of the variables, Johansen cointegration test to investigate the existence of a long-run relationship between variables, error correction model for explaining the causality between variables and Granger causality analysis was used