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Uncertainty of economic policies in the fluctuation of the stock market of eight countries, non-linear approach
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Fardin Mohammadzadeh Ebrahim Sami1   , Seyedkamal Sadeghi2 , Davud Behbudi3 |
1- PhD student in Economic Sciences, International Branch, Aras Campus, University of Tabriz
2- Professor and faculty member, Faculty of Economics, University of Tabriz , seyedkamal-sadegh@tabrizu.ac.ir
3- Professor and faculty member, Faculty of Economics, University of Tabriz |
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Abstract: (22 Views) |
Determining the factors affecting the volatility and risk of the stock market by expanding the pricing models of capital assets has been the focus of researchers. One of the variables that has a close relationship with financial markets is the uncertainty of economic policies; Therefore, the present study investigates the effects of uncertainty of economic policies on stock market volatility in D8 countries during the years 2000 to 2023 using the nonlinear Markov switching model. The results of the study show that the uncertainty of economic policies in all regimes except the regime of one country, Nigeria, has a positive effect on the stock market fluctuations of the countries, the economic growth under the zero regime of Indonesia, Iran, Turkey, Egypt and Nigeria has a positive effect and in the countries Bangladesh, Pakistan and Malaysia have a negative effect on the stock market fluctuations, also the economic growth under the regime of Iran, Bangladesh, Pakistan has a positive effect and in the countries of Indonesia, Turkey, Malaysia and Nigeria economic growth has a negative effect on the stock market fluctuations. The price of oil has a positive effect in the zero regime of Indonesia, Iran, Bangladesh, Pakistan, Turkey, Malaysia and Egypt and has a negative effect on the fluctuations of the stock market in Nigeria, and finally this variable has a positive effect in the one regime of the countries of Indonesia, Pakistan, Turkey, Malaysia, Egypt and Nigeria had a positive effect on stock market fluctuations, and in Iran and Bangladesh, oil prices in the regime had a negative effect on the stock market fluctuations of these countries.
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Article number: 15 |
| Keywords: Uncertainty of economic policies, stock market volatility, non-linearit |
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Full-Text [PDF 1503 kb]
(12 Downloads)
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Article type: Research |
Subject:
Special
Received: 2025/07/26 | Accepted: 2025/11/11 | Published: 2026/01/30
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