Multi-factor model of banking industry stock returns: Kazakhstani market perspective

Abstract

The purpose of the provided research is to analyze the dependence of stock's profitability on certain macroeconomic and industry variables using a multifactorial model. We selected companies in the banking sector based on the availability of their data on the Kase Stock Exchange. These data were mainly taken with the maximum period from January 2017 up to December 2021 in order to capture as much time as possible. Further, to study this topic, the R programming language and several additional libraries for data cleaning were used. The results show that market returns account for variations in stock returns, but the inclusion of other economic variables increased the explanatory power of the model.