تأثیر نااطمینانی سیاست‌های اقتصادی داخلی و جهانی بر بازدهی شاخص بازار سهام ایران: رهیافت NARDL

Aftab, M., Ahmad, R., Ismail, I. & Phylaktis, K. (2021). Economic integration and the currency and equity markets nexus. International Journal of Finance & Economics, 26(4), 5278–5301.

https://doi.org/10.1002/ijfe.2065

Ahir, H., Bloom, N. & Furceri, D. (2022). The world uncertainty index (No. w29763). National bureau of economic research.

https://doi.org/10.3386/w29763

Akhgar, M.O., Sajjadi, Z. & Rasooli Kordestani, N. (2023). Uncertainty in economic policy and corporate risk-taking: Product market competition, financial friction, and financialization. Accounting and Auditing Review, 30(4), 614–658. [In Persian]

https://doi.org/10.22059/acctgrev.2023.363421.1008845

Al-Thaqeb, S.A., Algharabali, B.G. & Alabdulghafour, K.T. (2022). The pandemic and economic policy uncertainty. International Journal of Finance & Economics, 27(3), 2784–2794.

https://doi.org/10.1002/ijfe.2298

Al-Yahyaee, K.H., Rehman, M.U., Mensi, W. & Al-Jarrah, I.M.W. (2019). Can uncertainty indices predict Bitcoin prices? A revisited analysis using partial and multivariate wavelet approaches. The North American Journal of Economics and Finance, 49, 47-56.

https://doi.org/10.1016/j.najef.2019.03.019

Arbab, H.R., Amadeh, H. & Amini, A. (2021). The impact of economic policy uncertainty on the returns of petrochemical companies in different market conditions. Iranian Economic Research, 26(88), 191–221. [In Persian] https://doi.org/10.22054/ijer.2021.50187.838

Arouri, M., Estay, C., Rault, C. & Roubaud, D. (2016). Economic policy uncertainty and stock markets: Long-run evidence from the US. Finance Research Letters, 18, 136–141. https://doi.org/10.1016/j.frl.2016.04.011

Ashena, M. & Lal Khezri, H. (2020). The dynamic correlation of global economic policy uncertainty index with stock, exchange rate and gold markets in Iran: Application of M-GARCH and DCC approach. Journal of Economic Modeling, 5(2), 147–172. [In Persian]

https://doi.org/10.22075/jem.2020.20667.1480

Ashraf, B.N. & Shen, Y. (2019). Economic policy uncertainty and banks’ loan pricing. Journal of Financial Stability, 44, 1-12.

https://doi.org/10.1016/j.jfs.2019.100695

Aydin, M., Pata, U.K. & Inal, V. (2022). Economic policy uncertainty and stock prices in BRIC countries: Evidence from asymmetric frequency domain causality approach. Applied Economic Analysis, 30(89), 114–129. https://doi.org/10.1108/AEA-12-2020-0172

Bahmani-Oskooee, M. & Saha, S. (2016). Do exchange rate changes have symmetric or asymmetric effects on stock prices? Global Finance Journal, 31, 57–72. https://doi.org/10.1016/j.gfj.2016.06.005

Baker, S.R., Bloom, N. & Davis, S.J. (2016). Measuring economic policy uncertainty. The Quarterly Journal of Economics, 131(4), 1593–1636. https://doi.org/10.1093/qje/qjw024

Balcilar, M., Gupta, R., Kim, W.J. & Kyei, C. (2015). The role of domestic and global economic policy uncertainties in predicting stock returns and their volatility for Hong Kong, Malaysia and South Korea: Evidence from a nonparametric causality-in-quantiles approach. Department of Economics, University of Pretoria, Working Paper No, 201586. https://ideas.repec.org/p/pre/wpaper/201586.html

Balcilar, M., Gupta, R., Lee, C.C. & Olasehinde-Williams, G. (2020). Insurance and economic policy uncertainty. Research in International Business and Finance, 54, 101253. https://doi.org/10.1016/j.ribaf.2020.101253

Basher, S.A., Haug, A.A. & Sadorsky, P. (2018). The impact of oil-market shocks on stock returns in major oil-exporting countries. Journal of International Money and Finance, 86, 264–280.

https://doi.org/10.1016/j.jimonfin.2018.05.003

Bhattacharya, S.N., Bhattacharya, M. & Basu, S. (2019). Stock market and its liquidity: Evidence from ARDL bound testing approach in the Indian context. Cogent Economics & Finance, 7, 1-12.

https://doi.org/10.1080/23322039.2019.1586297

Birz, G. & Lott, J.R.Jr. (2011). The effect of macroeconomic news on stock returns: new evidence from newspaper coverage. Journal of Banking & Finance, 35(11), 2791–2800.

https://doi.org/10.1016/j.jbankfin.2011.03.006

Bissoon, R., Seetanah, B., Bhattu-Babajee, R., Gopy-Ramdhany, N. & Seetah, K. (2016). Monetary policy impact on stock return: evidence from growing stock markets. Theoretical Economics Letters, 6(5), 1186–1195. https://doi.org/10.4236/tel.2016.65112

Bloom, N. (2009). The impact of uncertainty shocks. Econometrica, 77(3), 623–685. https://doi.org/10.3982/ECTA6248

Brogaard, J. & Detzel, A. (2015). The asset-pricing implications of government economic policy uncertainty. Management Science, 61(1), 3–18. https://www.jstor.org/stable/24551068

Broock, W.A., Scheinkman, J.A., Dechert, W.D. & LeBaron, B. (1996). A test for independence based on the correlation dimension. Econometric Reviews, 15(3), 197–235. https://doi.org/10.1080/07474939608800353

Caggiano, G., Castelnuovo, E. & Figueres, J.M. (2017). Economic policy uncertainty and unemployment in the United States: A nonlinear approach. Economics Letters, 151, 31-34.

https://doi.org/10.1016/j.econlet.2016.12.002

Chen, N.F., Roll, R. & Ross, S.A. (1986). Economic forces and the stock market. The Journal of Business, 59(3), 383–403. https://doi.org/10.1086/296344

Cheng, F., Wang, C., Cui, X., Wu, J. & He, F. (2021). Economic policy uncertainty exposure and stock price bubbles: Evidence from China. International Review of Financial Analysis, 78, 101961.

https://doi.org/10.1016/j.irfa.2021.101961

Chiang, T.C. & Chen, P.Y. (2023). Inflation risk and stock returns: Evidence from US aggregate and sectoral markets. North American Journal of Economics and Finance, 66, 101986. https://doi.org/10.1016/j.najef.2023.101986

Choudhry, T. (2001). Inflation and rates of return on stocks: evidence from high inflation countries. Journal of International Financial Markets, Institutions and Money, 11(1), 75–96. https://doi.org/10.1016/S1042-4431(00)00037-3

Chuliá, H., Mosquera-López, S. & Uribe, J.M. (2023). Nonlinear market liquidity: an empirical examination. International Review of Financial Analysis, 87, 102532. https://doi.org/10.1016/j.irfa.2023.102532

Da, Z., Engelberg, J. & Gao, P. (2015). The sum of all FEARS: Investor sentiment and asset prices. The Review of Financial Studies, 28(1), 1–32. https://doi.org/10.1093/rfs/hhu072

Dakhlaoui, I. & Aloui, C. (2016). The interactive relationship between the US economic policy uncertainty and BRIC stock markets. International Economics, 146, 141-157. https://doi.org/10.1016/j.inteco.2015.12.002

Davis, S.J. (2016). An index of global economic policy uncertainty (No. w22740). National Bureau of Economic Research. https://doi.org/10.3386/w22740

Dindar Farkoushy, P., Panahian, H. & Jabbari, H. (2021). Economic uncertainty and stock price crash risk companies listed in tehran stock exchange. Accounting and Auditing Research, 13(51), 143–164. [In Persian] https://doi.org/10.22034/IAAR.2021.141681

Dong, Q., Du, Q. & Du, A.M. (2024). Interplay between oil prices, country risks, and stock returns in the context of global conflict. Research in International Business and Finance, 66, 102545.

https://doi.org/10.1016/j.ribaf.2024.102545

Dornbusch, R. & Fischer, S. (1980). Exchange rates and the current account. American Economic Review, 70(5), 960–971.

https://economics.mit.edu/sites/default/files/2023-05/fischer_exchange_rates.pdf

Eidi, M., Hejbar Kiani, C., Rajaee, Y. & Rahimzadeh, A. (2020). Investigating the asymmetric effects of exchange rate on Iran's money demand function despite household religious expenditure: NARDL approach. Financial Economics Quarterly, 14(52), 27–54. [In Persian]

https://doi.org/20.1001.1.25383833.1399.14.52.2.2

Elroukh, A.W. (2025). Economic policy uncertainty and stock returns in the G7 countries: A panel NARDL approach [Working paper]. Sultan Qaboos University, College of Economics & Political Science.

https://doi.org/10.2139/ssrn.4718712

Engle, R.F. & Granger, C.W. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica: Journal of the Econometric Society, 5(22), 251-276. https://doi.org/10.2307/1913236

Erdogan, L., Ceylan, R. & Abdul-Rahman, M. (2022). The impact of domestic and global risk factors on Turkish stock market: evidence from the NARDL approach. Emerging Markets Finance and Trade, 58(7), 1961–1974. https://doi.org/10.1080/1540496X.2021.1949282

Fama, E.F. & French, K.R. (1989). Business conditions and expected returns on stocks and bonds. Journal of Financial Economics, 25(1), 23–49. https://doi.org/10.1016/0304-405X(89)90095-0

Friedman, M. (1968). The role of monetary policy. American Economic Review, 58(1), 1–17. https://www.jstor.org/stable/1831652

Georgescu, I. & Kinnunen, J. (2025). Nonlinear ARDL analysis of economic growth, nuclear energy, and innovation's asymmetric effects on Finland's load capacity factor. SN Business & Economics, 5(4), 1-26. https://doi.org/10.1007/s43546-025-00808-9

Ghani, M. & Ghani, U. (2024). Economic policy uncertainty and emerging stock market volatility. Asia-Pacific Financial Markets, 31(1), 165–181. https://doi.org/10.1007/s10690-023-09410-1

Goel, G., Dash, S.R., Mata, M.N., Caleiro, A.B., Xavier Rita, J. & Filipe, J.A. (2021). Economic policy uncertainty and stock return momentum. Journal of Risk and Financial Management, 14(4), 141.

https://doi.org/10.3390/jrfm14040141

Guedhami, O., Mansi, S., Reeb, D. & Yasuda, Y. (2021). Economic policy uncertainty and allocative distortions. Journal of Financial Stability, 56, 100923. http://hdl.handle.net/10919/106991

He, F., Wang, Z. & Yin, L. (2020). Asymmetric volatility spillovers between international economic policy uncertainty and the US stock market. The North American Journal of Economics and Finance, 51, 101084. https://doi.org/10.1016/j.najef.2019.101084

Hemrit, W. & Nakhli, M.S. (2021). Insurance and geopolitical risk: Fresh empirical evidence. The Quarterly Review of Economics and Finance, 82, 320-334. https://doi.org/10.1016/j.qref.2021.10.001

Hoque, M.E. & Zaidi, M.A.S. (2019). The impacts of global economic policy uncertainty on stock market returns in regime switching environment: Evidence from sectoral perspectives. International Journal of Finance & Economics, 24(2), 991–1016. https://doi.org/10.1002/ijfe.1702

Huq, M.F. & Billah, M.M. (2023). Macroeconomic factors and stock exchange return: A statistical analysis. SSRN. https://doi.org/10.2139/ssrn.4492017

Idnani, S., Adil, M.H., Mal, H. & Kolte, A. (2023). Economic policy uncertainty and investors' sentiment—An Indian perspective. International Journal of Emerging Markets, 18(10), 3462–3485. https://doi.org/10.1108/IJOEM-04-2021-0567

Ioannidis, C. & Kontonikas, A. (2008). The impact of monetary policy on stock prices. Journal of Policy Modeling, 30(1), 33–53.

https://doi.org/10.1016/j.jpolmod.2007.06.015

Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica: journal of the Econometric Society, 59(6), 1551-1580. https://doi.org/10.2307/2938278

Jurado, K., Ludvigson, S.C. & Ng, S. (2015). Measuring uncertainty. American Economic Review, 105(3), 1177–1216.

https://doi.org/10.1257/aer.20131193

Kang, W. & Ratti, R.A. (2013). Oil shocks, policy uncertainty and stock market return. Journal of International Financial Markets, Institutions and Money, 26, 305-318. https://doi.org/10.1016/j.intfin.2013.07.001

Kilian, L. & Park, C. (2009). The impact of oil price shocks on the U.S. stock market. International Economic Review, 50(4), 1267–1287. http://dx.doi.org/10.1111/j.1468-2354.2009.00568.x

Ko, J.H. & Lee, C.M. (2015). International economic policy uncertainty and stock prices: Wavelet approach. Economics Letters, 134, 118–122. https://doi.org/10.1016/j.econlet.2015.07.012

Kundu, S. & Paul, A. (2022). Effect of economic policy uncertainty on stock market return and volatility under heterogeneous market characteristics. International Review of Economics & Finance, 80, 597-612. https://doi.org/10.1016/j.iref.2022.02.047

Laakkonen, H. & Lanne, M. (2008). Asymmetric news effects on volatility: Good vs. bad news in good vs. bad times. MPRA Paper, 8296, 1–27. https://mpra.ub.uni-muenchen.de/8296

Loni, S., Abbasian, E. & Haji, G. (2021). The effect of economic policy uncertainty on corporate investment: evidence from companies listed on the Tehran Stock Exchange. Financial Research Journal, 23(2), 249–268. [In Persian] https://doi.org/10.22059/frj.2021.310437.1007069

Lotfi, M., Haghighat, H. & Ghaemi, M.H. (2018). Validation and development of stock return synchronicity measures and the impact of the country’s economic situation on its changes. Journal of Accounting Knowledge and Management Auditing, 7(25), 81–98. [In Persian]

https://www.jmaak.ir/article_11768.html

Mensi, W., Hammoudeh, S., Reboredo, J.C. & Nguyen, D.K. (2014). Do global factors impact BRICS stock markets? A quantile regression approach. Emerging Markets Review, 19, 1-17.

https://doi.org/10.1016/j.ememar.2014.04.002

Mujtaba, A., Jena, P.K., Mishra, B.R., Kyophilavong, P., Hammoudeh, S., Roubaud, D. & Dehury, T. (2022). Do economic growth, energy consumption and population damage the environmental quality? Evidence from five regions using the nonlinear ARDL approach. Environmental Challenges, 8, 1-27. https://doi.org/10.1016/j.envc.2022.100554

Nguyen, G. & Vo, V. (2024). Economic policy uncertainty around the world: Implications for Vietnam. International Review of Economics & Finance. https://doi.org/10.1016/j.iref.2024.05.028

Nkoro, E. & Uko, A.K. (2016). Autoregressive Distributed Lag (ARDL) cointegration technique: application and interpretation. Journal of Statistical and Econometric methods, 5(4), 63-91.

http://www.scienpress.com/Upload/JSEM%2fVol%205_4_3.pdf

Nusair, S.A. & Al-Khasawneh, J.A. (2022). Impact of economic policy uncertainty on the stock markets of the G7 countries: A nonlinear ARDL approach. The Journal of Economic Asymmetries, 26, e00251. https://doi.org/10.1016/j.jeca.2022.e00251

Pástor, Ľ. & Veronesi, P. (2013). Political uncertainty and risk premia. Journal of Financial Economics, 110(3), 520–545.

https://doi.org/10.1016/j.jfineco.2013.08.007

Paule-Vianez, J., Gómez-Martínez, R. & Prado-Román, C. (2020). Effect of Economic and Monetary Policy Uncertainty on stock markets. Evidence on return, volatility and liquidity. Economics Bulletin, 40(2), 1261-1271. http://www.accessecon.com/Pubs/EB/2020/Volume40/EB-20-V40-I2-P107.pdf

Pesaran, M.H., Shin, Y. & Smith, R.J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. https://www.jstor.org/stable/2678547

Ritter, J.R. (2012). Revisiting economic growth and equity returns. Financial Analysts Journal, 68(4), 6–23.

http://doi.org/10.1111/j.1745-6622.2012.00385.x

Saltzman, B. & Yung, J. (2018). A machine learning approach to identifying different types of uncertainty. Economics Letters, 171, 58–62. https://doi.org/10.1016/j.econlet.2018.07.003

Samadi, S. & Bayani, O. (2011). The relationship between macroeconomic variables and stock returns in the Tehran Stock Exchange. Journal of Financial Economics, 5(16), 91–111. [In Persian]

https://sanad.iau.ir/Journal/ecj/Article/1062957/FullText

Samsami, H. & Ebrahimnejad, A. (2019). The impact of economic policy uncertainty on the entrepreneurship and unemployment in Iranian economy: Simultaneous equations system approach. Journal of Economic Research, 54(4), 995–1016. [In Persian]

https://doi.org/10.22059/jte.2019.74175

Schwert, G.W. (1990). Stock returns and real activity: A century of evidence. The Journal of Finance, 45(4), 1237–1257. https://doi.org/10.1111/j.1540-6261.1990.tb02434.x

Scotti, C. (2016). Surprise and uncertainty indexes: Real-time aggregation of real-activity macro-surprises. Journal of Monetary Economics, 82, 1-19. https://doi.org/10.1016/j.jmoneco.2016.06.002

Sharma, A.K. (2024). Asymmetric nexus between economic policy uncertainty and the Indian stock market: Evidence using NARDL approach. The Quarterly Review of Economics and Finance, 93, 91–101. https://doi.org/10.1016/j.qref.2023.11.006

Shekarkhah, J., Asiaie, M.R. & Mahmoudi, M. (2023). The relationship between economic uncertainty and synchronization of stock returns in companies listed on the Tehran Stock Exchange. Journal of Securities and Exchange, 16(2), 225–252. [In Persian]

https://doi.org/10.22034/jse.2022.11963.1976

Shin, Y., Yu, B. & Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In Festschrift in Honor of Peter Schmidt: Econometric Methods and Applications, 7(2), 281–314. http://dx.doi.org/10.2139/ssrn.1807745

Soroka, S.N. (2006). Good news and bad news: Asymmetric responses to economic information. The Journal of Politics, 68(2), 372–385. https://doi.org/10.1111/j.1468-2508.2006.00413.x

Su, F., Wang, F. & Xu, Y. (2024). Economic policy uncertainty and volatility spillovers among international stock market indices during the COVID-19 outbreak. Asia-Pacific Financial Markets, 1-30.

https://doi.org/10.1007/s10690-024-09452-z

Sum, V. (2013). The ASEAN stock market performance and economic policy uncertainty in the United States. Economic Papers: A Journal of Applied Economics and Policy, 32(4), 512–521.

http://dx.doi.org/10.2139/ssrn.2091871

Toda, H.Y. & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of econometrics, 66(1), 225-250.

https://doi.org/10.1016/0304-4076(94)01616-8

Ugurlu‐Yildirim, E., Kocaarslan, B. & Ordu‐Akkaya, B.M. (2021). Monetary policy uncertainty, investor sentiment, and US stock market performance: new evidence from nonlinear cointegration analysis. International Journal of Finance & Economics, 26(2), 1724-1738.

https://doi.org/10.1002/ijfe.1874

Vega-Gutiérrez, P.L., López-Iturriaga, F.J. & Rodríguez-Sanz, J.A. (2025). Economic policy uncertainty and capital structure in Europe: An agency approach. The European Journal of Finance, 31(1), 53–75. https://doi.org/10.1080/1351847X.2024.2364044

Völkert, C. (2015). The distribution of uncertainty: Evidence from the VIX options market. Journal of Futures Markets, 35(7), 597-624. https://doi.org/10.1002/fut.21673

Wang, Q., Wu, S., Huang, P. & Hueng, C.J. (2025). The influence of market liquidity on the efficiency of China's pilot carbon markets. Finance Research Letters, 72, 106560. https://doi.org/10.1016/j.frl.2024.106560

Xu, Y., Wang, J., Chen, Z. & Liang, C. (2021). Economic policy uncertainty and stock market returns: new evidence. The North American Journal of Economics and Finance, 58, 101525.

https://doi.org/10.1016/j.najef.2021.101525

Yu, H., Fang, L. & Sun, W. (2018). Forecasting performance of global economic policy uncertainty for volatility of Chinese stock market. Physica A: Statistical Mechanics and Its Applications, 505, 931–940. https://doi.org/10.1016/j.physa.2018.03.083

Yuan, D., Li, S., Li, R. & Zhang, F. (2022). Economic policy uncertainty, oil and stock markets in BRIC: Evidence from quantiles analysis. Energy Economics, 110, 105972. https://doi.org/10.1016/j.eneco.2022.105972

Zarra Nezhad, M. & Motamedi, S. (2012). Investigation of the relationship between macroeconomic variables and total price index of Tehran Stock Exchange. Economics Research, 12(46), 101–116. [In Persian] https://joer.atu.ac.ir/article_943.html

Zhu, H., Su, X., You, W. & Ren, Y. (2017). Asymmetric effects of oil price shocks on stock returns: Evidence from a two-stage Markov regime-switching approach. Applied Economics, 49(25), 2491–2507. https://doi.org/10.1080/00036846.2016.1240351

Zivot, E. & Andrews, D.W.K. (2012). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of Business & Economic Statistics, 20(1), 25-44.  https://doi.org/10.2307/1391541

Zomorodian, G.R., Shabanzadeh, M. & Shariatzadeh, I. (2016). Examining the effect of uncertainty in monetary and fiscal policy on capital markets. Financial Engineering and Securities Management, 6(25), 81–106. [In Persian] https://journals.iau.ir/article_517200.html