Document Type : Research Paper
Authors
1 Assistant Professor - Faculty of Economics and Management - Semnan University
2 Ph.D. Candidate in Finance - Financial Engineering, Faculty of Economics, Management and Administrative Sciences, Semnan University, Semnan, Iran.
Abstract
This research aims to examine the asymmetric effects of domestic economic policy uncertainty (DEPU) and global economic policy uncertainty (GEPU) on the return of the Tehran Stock Exchange (TSE) All-Share Index. The main innovation of this research lies in the simultaneous analysis of economic policy uncertainty with both domestic and global origins within a nonlinear framework, and the investigation of the asymmetric response of the stock market to these uncertainties. The data used were collected on a quarterly basis over the period from 1997 to 2024. In addition to the uncertainty indices, control variables such as exchange rate, global oil prices, consumer price index, money supply, real non-oil GDP, and stock market liquidity are also included in the model. The results indicate that positive and negative shocks from domestic economic policy uncertainty have significant positive and negative effects on the return of the Tehran Stock Exchange (TSE) All-Share Index, respectively, in both the short and long term. Furthermore, shocks from global economic policy uncertainty have a significant impact in the short term, with a time lag; specifically, positive shocks have a positive effect, and negative shocks have a negative effect on the index returns. In the long term, however, only positive shocks from global economic policy uncertainty exert a significant positive effect on stock index returns. Additionally, control variables have shown significant effects on the return of the Tehran Stock Exchange (TSE) All-Share Index
Keywords
- Asymmetric effects
- Economic policy uncertainty
- Nonlinear Autoregressive Distributed Lag (NARDL) model
- Tehran Stock Exchange All-Share Index returns
Main Subjects
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