/IRBIS, Assel Omarova, Andrey Tsalyuk, April 20, 06/ - IRBIS the
Information agency of financial markets (Almaty) has complied speculative
attractiveness rating of listing shares, traded on Kazakhstan stock exchange
(KASE), having revised change of their costs and their liquidity degree on the
open market in the first quarter of 2006.
Results of the researches are given in the table, which comprises 30 most
attractive shares. Shares of 63 names of KASE's official securities list were
analyzed while complying the table ("p" letter in security's symbol means
preferred shares, others - common shares; full list of issuers symbols and
securities traded on KASE is available at
http://www.kase.kz/instruments/nzb_code.htm).
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Reference information
Key ------------------ --------- --------
Yield, % APR:
indicators -------- -------- Volume of Market
Po- of rating
si- Share ------------------- on deals on quo- Deals, deals,
tion symbol Ks Kl Ky (Yi) tation KZT m. quantity
---- ------ ------ ---- ----- -------- -------- --------- --------
1 CCBN 1.51 2.33 0.65 +1,427.2 +965.2 2,471.8 80
2 KZZN 1.47 2.49 0.59 +1,302.0 +770.5 953.9 149
3 ASFI 0.664 0.67 0.997 +2,194.8 +1,574.9 16.1 22
4 UTMK 0.662 0.66 1.000 +2,201.6 +1,281.0 15.4 16
5 HSBK 0.50 1.49 0.34 +743.4 +145.4 43.3 50
6 NRBN 0.43 0.94 0.46 +1,012.3 +194.6 108.4 37
7 AMGZ 0.37 1.58 0.23 +513.7 +234.0 103.0 61
8 KKGBp 0.31 1.09 0.28 +615.6 +421.8 181.5 32
9 ASBN 0.30 1.27 0.24 +524.8 +434.8 96.9 47
10 KZTK 0.29 2.05 0.14 +309.1 +520.9 530.0 79
11 KKGB 0.27 0.55 0.48 +1,054.4 +959.5 16.0 12
12 KZTKp 0.26 0.79 0.33 +718.8 +757.3 19.6 13
13 CCBNp 0.18 0.82 0.22 +484.5 +160.2 646.5 20
14 BTAS 0.16 1.36 0.12 +255.3 +443.0 127.4 61
15 ATFB 0.14 0.74 0.18 +405.6 +1,428.4 167.6 15
16 CSBN 0.13 1.56 0.08 +181.9 +413.0 82.0 69
17 TSBN 0.12 0.61 0.20 +446.1 +344.7 16.4 12
18 ATFBp 0.082 0.39 0.21 +463.8 +122.4 39.5 6
19 BTASp 0.081 0.63 0.13 +281.6 +713.1 874.7 7
20 CSBNp 0.035 0.47 0.07 +162.2 +205.3 7.1 10
21 ATFBp8 0.034 0.92 0.04 +81.1 +56.3 576.4 20
22 CHFM 0.028 0.31 0.09 +197.3 +32.8 1.1 2
23 NRBNp6 0.027 0.32 0.08 +184.8 +112.0 48.4 5
24 ALKS 0.019 0.30 0.064 +141.4 +50.7 160.8 3
25 KANT 0.018 0.30 0.062 +137.1 +101.4 2.1 2
26 TEBN 0.012 1.54 0.008 +16.8 +11.0 347.9 63
27 PDES 0.010 0.35 0.028 +60.8 +23.9 400.6 3
28 HSBKp1 0.004 0.38 0.011 +24.7 +2.4 6.2 7
29 TEBNp 0.001 0.60 0.002 +4.3 -14.8 92.6 11
30 VTBNp 0.0005 0.45 0.001 +2.4 +1.1 833.5 8
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RATING METHODS DESCRIPTION
The basis of the rating is the so called speculative attractiveness indicator
(Ks), by the value of which shares are sorted in the table in reverse order.
Analysts of IRBIS assume that the higher Ks is, the bigger speculative
potential the share had on the market in the analyzed period. The indicator
has been calculated by the formula:
Ks = Kl * Ky, where:
Kl - share liquidity;
Ky - share yield at market deal prices.
Thus, IRBIS considers that share's liquidity degree on KASE and change of
its market price play the key role while determining share's speculative
attractiveness. These both factors, judging by Ks formula, have equal weight
while making the rating.
Liquidity indicator of i share is calculated by the formula:
Kl = 0.5*Kv + Kq + Kp + 0.5*Kd, where:
Kv - показатель объема сделок = Vi / Vmax, где:
Vi - volume of market deals in i share in the analyzed period;
Vmax - the biggest volume of deals, fixed in the analyzed period on any
share from the examined list (we're reminding there were 63 of them, and
CCBN had Kv, equal to 1);
Kq - number of deals = Qi / Qmax, where:
Qi - number of market deals in i share in the analyzed period;
Qmax - the highest Qi, fixed in the analyzed period on any share from
the examined list (KZZN had Kq, equal to 1);
Kp - number of brokers = Pi / Pmax, where:
Pi - number of KASE members, which took part in making deals in i
share in the analyzed period;
Pmax - the highest Pi, fixed in the analyzed period on any share of the
examined list (KZTK had Kp, equal to 1);
Kd - effective days = Di / Dmax, where:
Di - number of days in the analyzed period, on which deals were made in
i share;
Dmax - the highest Di, fixed in the analyzed period while making deals in
any share of the examined list (KZZN had Kd, equal to1).
Values, shown in the formula of liquidity indicator as multipliers before Kv
and Kd (0.5) - indicator weight. Judging by the formula analysts of IRBIS
assume that deals volume and number of successful days on domestic
market have 2 times less weight while estimating liquidity, than number of
deals and number of their participants.
Yield indicator of i share is calculated by the formula:
Ky = Yi / Ymax, shere:
Yi - yield of i share on deals as % APR, calculated by the formula:
Yi = (Re - Rb) / Rb / 90 * 365, where
Re - share cost on market deals at the end of the analyzed period, KZT
per share;
Rb - share cost on market deals at the beginning of the analyzed period,
KZT per share;
90 - actual number of days in the analyzed period;
365 - yield basis;
Ymax - the highest Yi, fixed in the analyzed period on any share of the
examined list (ASFI had Ky, equal to 1).
Share cost on market deals, used for calculating the above-mentioned Yi
(sixth column of rating table), was calculated in the following way. Each
share cost at the beginning of the analyzed was determined as weighted
average price of this share, calculated on deals of the last day successful for
this share, which preceded to the date of the analyzed period beginning.
Shares cost at the end of the period was calculated in similar way and the
difference was the fact that data on deals of the last day successful for this
share, preceding to the date of the analyzed period end, was considered. In
other words, weighted average shares prices, which were relevant at the
beginning and the end of the analyzed period, were considered. Successful
day for share means a trading day, during which at lest one market deal in
this share was made on KASE. Estimation of each share, made by such the
method, was made only when successful days were close to the end and the
beginning of the analyzed period. Shares, not meeting this requirement, were
not considered in the rating.
Specialists of IRBIS note that change of prices, received in the way
described above (Yi), is given as percentage per annum using actual/365
basis.
The rating table contains shares yields, calculated by change of shares
costs on purchase quotations, as a reference information, which was not
considered in making the rating. This indicator is calculated in the way Yi is
calculated, and the difference is the fact that values taken by specialists of
IRBIS from KASE's market estimation, as the price parameters (Re и Rb).
KASE generates these files daily in compliance with exchange's internal
document "Methods of securities estimation". The methods are available at
http://www.kase.kz/geninfo/normbase/met_ocen_zb.pdf. Results of shares
market estimation, symbols of which are given in the tables, as of January 1
of 2006 and as of March 31 of 2006, were used while estimating shares
yields by this method. Specialists of IRBIS assume such the estimation of
shares yields is most conservative.
Volume of market deals in shares and number of such the deals are also
shown in the rating table as reference information.
IRBIS notes that exchange's share deals, made by nego deals method,
were not considered in any calculations, concerned with the rating.
IRBIS agency gives notice that material given above is not an offer or
recommendation to sell or buy shares on KASE. Using it by anyone while
taking investment decision does not make IRBIS agency responsible for
possible losses, resulting from such the decisions.
[2006-04-20]