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

مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 26 خرداد 1403

نوع مقاله: Original Article

شناسه دیجیتال (DOI): 10.22067/ijaaf.2024.88291.1468

نویسندگان

Mohammad Sadegh Adibian¹؛ taghi ebrahimi salari^{* 2}؛ hadi esmaeilpour moghaddam³

¹Ph.D. student in Economics, Department of Economics, Faculty of Economics and Administrative Sciences, Ferdowsi University of Mashhad, Azadi Square, Mashhad, Iran

²Associate Professor of Economics Department of Economics, Faculty of Economics and Administrative Sciences, Ferdowsi University of Mashhad, Azadi Square, Mashhad, Iran

³Assistant Professor of Economics, Department of Economics, Faculty of Economics and Administrative Sciences, Ferdowsi University of Mashhad, Azadi Square, Mashhad, Iran

چکیده

In the contemporary global economy, the interconnectedness of national markets has become increasingly pronounced. Over the past decade,Iran has experienced annual average imports of approximately$40 billion and exports of$38 billion, highlighting the cross-border economic linkages that have emerged.These international connections mean that domestic factors within Iran's markets are now heavily influenced by external forces.The purpose of this research is to investigate the impact of two types of uncertainty- geopolitical risk(GPR) and economic policy uncertainty(EPU)-originating from global,Chinese,and USA sources,on the returns and volatility of the Iranian stock exchange.Monthly data from November2008 to March2024 was analyzed using a Generalized Additive Model(GAM).The results demonstrate that EPU originating from global and Chinese sources has a significant non-linear effect on both the returns and volatility of the Iranian stock market.In contrast,EPUfrom the USA only impacts stock market volatility. GPR originating from China and globally has a direct linear effect on both returns and volatility.The combined effects of EPUandGPR from China and theUS also significantly influence returns and volatility, while the simultaneous global effects only impact the returns of the Iranian stock exchange,The results in the field of GPR show that with the occurrence of GPR,investors in the Iranian stock market consider this market as a safe asset, and the occurrence of GPR is considered as an incentive to enter the capital market in Iran. The results in the field of EPU show: Seeing China'sEPU by investors will mean the occurrence of a series of specific effects on the economy,so they start to change their portfolio

کلیدواژه‌ها

geopolitical risk؛ economic policy uncertainty؛ Generalized additive model؛ Stock market return