Investigating the effect of oil price fluctuations and economic policy uncertainty on stock returns in Iran

اقتصاد پولی مالی

Articles in Press, Accepted Manuscript, Available Online from 03 November 2024

Document Type: Original Article

DOI: 10.22067/mfe.2024.88640.1433

Authors

mahnaz mojaradi¹; masoud nikooghadam^{* 2}; behnam elyaspour²

¹master's degree in economics/University of Bojnord

²Assistant professor of economics, University of Bojnord, Iran.

Abstract

The interaction between the stock market and the elements of the economic system has always been one of the important issues in Iran's economy On the other hand, considering that Iran is an oil exporting country, oil price changes have always been one of the important factors of economic fluctuations in Iran. These fluctuations affect the financial markets, especially the stock market. The main goal of this research is to investigate the effect of oil price fluctuations and economic policy uncertainty on stock returns in Iran. In this research, in order to investigate the relationships between variables, seasonal data during the period from 1392:1 to 1400:4 and the Autoregressive distributed lag model have been used. The research findings indicate that economic policy uncertainty has a negative and significant effect on stock returns in Iran. Also, the two variables of oil price fluctuations and real effective exchange rate have a positive and significant relationship with stock returns in Iran. On the other hand, economic policy uncertainty, interest rate and industrial production index have a negative and significant relationship with stock returns in Iran. Therefore, it is recommended to reduce the dependence of the country's budget on oil revenues, and also, the stock exchange organization should take the necessary measures to reduce the effects of economic policy uncertainty on the overall index of the stock exchange.

Keywords

Economic policy uncertainty; Oil price fluctuations; Stock market returns; Autoregressive distributed lag (ARDL) model

References