How is the Iranian stock market affected by geopolitical risk and economic policy uncertainty in China, the US and the global?

Iranian Journal of Accounting, Auditing and Finance

مقاله 8، دوره 9، شماره 1 - شماره پیاپی 30، فروردین 2025، صفحه 131-159   

نوع مقاله: Original Article

شناسه دیجیتال (DOI): 10.22067/ijaaf.2025.45368.1468

نویسندگان

Mohammad Sadegh Adibian؛ Taghi Ebrahimi Salari^* ؛ Hadi Esmaeilpour Moghadam

Faculty of Economics and Administrative Sciences, Ferdowsi University of Mashhad, Mashhad, Iran

چکیده

In the contemporary global economy, the interconnectedness of national markets has become increasingly pronounced. Over the past decade, Iran has experienced an annual average import of approximately $40 billion and exports of $38 billion, highlighting emerging cross-border economic linkages. These international connections mean that domestic factors within Iran’s markets are now heavily influenced by external forces. This research investigates the impact of two types of uncertainty—geopolitical risk (GPR) and economic policy uncertainty (EPU)—originating from global, Chinese, and United States sources on the returns and volatility of the Iranian stock exchange. Monthly data from November 2008 to March 2024 were analyzed using a Generalized Additive Model (GAM). The results demonstrate that EPU from global and Chinese sources significantly nonlinearly affects the returns and volatility of the Iranian stock market. In contrast, EPU from the United States only impacts stock market volatility. GPR from China and globally has a direct linear effect on both returns and volatility. The combined effects of EPU and GPR from China and the US also significantly influence returns and volatility, while the simultaneous global effects only impact the returns of the Iranian stock exchange. The findings in the field of GPR indicate that when GPR occurs, investors in the Iranian stock market consider it a safe asset, and the occurrence of GPR serves as an incentive to enter the capital market in Iran. Conversely, the findings regarding EPU suggest that when investors perceive EPU from China, it leads to specific economic effects, prompting them to alter their portfolios. However, the recognition of EPU from the US and global sources is less pronounced among investors, leading them to prefer not to take action. These findings hold important implications for investors and stakeholders in the Iranian financial markets, providing insights that can inform investment strategies and policy decisions.

کلیدواژه‌ها

Economic Policy Uncertainty؛ Geopolitical Risk؛ Generalized Additive Model؛ Stock Market Return

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