Investigating the impact of Global Economic Policy Uncertainty on the Petrochemical Industry Efficiency in the Iranian Stock Market

Document Type : Original Article

Authors

Mohammad Rafie keshtiban ¹

Tahereh Akhondzadeh yosefi ²

Mohamad Sokhanvar ³

¹ PhD student in Financial Economics, Department of Economics, Ur.C., Islamic Azad University, Urmia, Iran

² Assistant Professor of Economics, Department of Economics, Ur.C., Islamic Azad University, Urmia, Iran (Corresponding Author)

³ Assistant Professor of Economics, Department of Economics, Ur.C., Islamic Azad University, Urmia, Iran

https://doi.org/10.22067/erd.2025.94286.1305

Abstract

The study of the changes that have occurred in the Iranian stock market, as one of the most important sectors of the country's economy, has always been affected by various factors, including uncertainties in domestic and foreign economic policies. These uncertainties in the economic environment can significantly weaken the ability of a country's financial system to allocate resources optimally and support economic growth. On the other hand, one of the most important industries in the Iranian stock market is the petrochemical industry, which plays a fundamental role in the country's economy as a strategic industry and the mother and source of nutrition for other sectors. Hence, the aim of this study is to investigate the effects of global economic policy uncertainty along with the variables of exchange rate, inflation, and oil price uncertainties on the returns of petrochemical industry stocks in the Iranian stock market in different periods of high and low returns for this industry. In this regard, monthly data from the period 2009 to 2024 and the nonlinear Markov switching approach have been used. The results of the study indicate that global economic policy uncertainty has asymmetric effects on the stock returns of the petrochemical industry in low and high-return regimes. Moreover, exchange rate and oil price uncertainties only have significant effect in the high-return regime, but inflation rate uncertainty in the low-return regimes has a significant effect on the petrochemical industry in the Iranian stock market.

Keywords

: Global Economic Policy Uncertainty

Nonlinear Markov Switching Model

Petrochemical Industry

Stock Retrurn

Subjects

• econometrics

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