Kazakhstan Equity Discount Rate Diagnostic Dataset: FMVI Components and Market Indicators, 2015–June 2026
Description
This dataset supports a diagnostic analysis of Kazakhstan’s equity discount rate from January 2015 to June 2026. It applies the Frontier Market Valuation Instrument (FMVI), a transparent framework that decomposes valuation-relevant risk conditions into four components: the country-risk premium, liquidity premium, behavioral premium, and institutional-quality premium. FMVI is used as a descriptive and policy-oriented diagnostic tool rather than as a structurally estimated asset-pricing model. The workbook contains monthly observations, quarterly summaries, structural-period averages, calibration assumptions, source documentation, benchmark scenarios, and data-quality checks. The January 2025–June 2026 update incorporates KASE Index levels, monthly returns, trading volumes, and estimated price-to-earnings ratios. These data are used alongside annual country-risk anchors and documented calibration parameters to update the four FMVI components and the corresponding diagnostic cost-of-equity measure. The structural-period analysis covers Kazakhstan’s exchange-rate transition, subsequent stabilization and market development, the COVID-19 and oil-price shock, the 2022–2024 period of domestic and external stress, and the market re-rating observed from 2025 through June 2026. The dataset is intended to support transparent replication, sensitivity analysis, regional comparison, and policy-oriented monitoring of Kazakhstan’s equity-market risk conditions. The scaling parameters are normalization choices and should not be interpreted as estimated structural coefficients or evidence of causal relationships.
Files
Steps to reproduce
1. Open the Excel workbook and allow formulas to recalculate. 2. Review the **Calibration_Sources** sheet for variable definitions, source information, calibration assumptions, and the distinction between observed market data and calibrated FMVI components. 3. Use the **Monthly_Data** sheet to inspect the monthly series from January 2015 to June 2026. For January 2025–June 2026, the observed inputs include the KASE Index level, monthly change, trading volume, and estimated P/E ratio. 4. The earnings yield is calculated as 100 divided by the estimated P/E ratio. The FMVI premium is calculated as the sum of the country-risk premium, liquidity premium, behavioral premium, and institutional-quality premium. The diagnostic cost of equity equals the 9% baseline required return plus the FMVI premium. 5. For January 2025–June 2026, the country-risk component uses the annual Kazakhstan risk anchors documented in **Calibration_Sources**. The liquidity component is adjusted using standardized trading volume, while the behavioral component responds to the absolute monthly market return. The institutional component follows the documented inflation and governance calibration. 6. The **Quarterly_Summary** sheet averages the monthly component and valuation series for each quarter and reports the available quarter-end KASE Index level. 7. The **Structural_Periods** sheet averages the monthly FMVI components across the five defined economic and market periods. 8. To conduct sensitivity analysis, modify only the blue assumption cells in **Calibration_Sources**. The monthly, quarterly, structural-period, and June 2026 scenario results will update automatically. Before using or exporting the results, confirm that all quality checks at the bottom of **Calibration_Sources** display “OK.”
Institutions
- Ca' Foscari University of VeniceVeneto, Venice