Document Type : Research Paper

Authors

1 Associate Professor, Business Economics, Allameh Tabataba`i University, Tehran, Iran

2 Associate Professor, Energy, Agriculture and Environment Economics, Allameh Tabataba`i University, Tehran, Iran

3 Ph.D. Student, Oil & Gas - Market and Finance Economics, Allame Tabataba`i University, Tehran, Iran

Abstract

This study investigated the factors that leads to economic uncertainty which may influence the petrochemical companies returns in various market conditions regarding their various levels of capital. To meet this object, we used quarterly data on government’s current expenditures, general government revenues, liquidity, GDP, and exchange rate, as the political variables for the years 1384-1397. Considering the type of available time series, we exercised the ARIMA-GARCH model to create an indicator to show the uncertainty of economic policies. We used the result to estimate the quantile regression model, along with other factors affecting corporate returns, including the price of the OPEC oil basket and the real rate of returns and market exchange rate. The results of this study indicated that in the bearish market, the greatest negative effect of each economic policy uncertainty is on the companies with lesser capital. Moreover, the intensity of this effect decreases as the market tends to change from bearish to bullish, and finally the economic policy uncertainty will have the least impact on companies with bigger capital.

Keywords

Main Subjects

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