The role of stock market confidence indicators in the conditions of financial uncertainty and uncertainty of economic policies and its shock on stock returns

Subject Areas : Financial Economics

seyedeh narjes shirmardi ¹ , majid sameti ² , حسین شریفی رنانی ³

1 - Department Economics of Islamic azad University,Isfahan,iran
2 - department of Economics,University of Isfahan.Iran
3 - دانشیار گروه اقتصاد، دانشگاه ازاد اسلامی، واحد اصفهان (خوراسگان)، اصفهان، ایران

Received: 2023-08-05 Accepted : 2024-08-11 Published : 2024-09-11

Keywords: Stock Market Confidence, Financial Uncertainty, Economic Policies Uncertainty, Capital Market, Stock Returns.,

Abstract :

The purpose of this research is to investigate the role of stock market confidence indicators in the Conditions of financial uncertainty and economic policy uncertainty in the United States and its short-term and long-term shock effects on stock returns (S&P index of the New York Stock Exchange) Using a structural vector autoregressive model Quarterly data in the period 2002-2022.The results indicate that in the short term, the greatest impact of negative shocks is caused by variables such as stock returns, then financial uncertainty, valuation confidence index, economic uncertainty, one-year confidence index and variables of economic policies uncertainty, Crash Confidence Index and Buy-on-Dips Confidence index have almost equally affected stock returns. In the long term, the greatest impact of negative shocks is caused by variables such as stock returns, economic policy uncertainty, Buy-on-Dips Confidence Index, economic uncertainty, one-year confidence index, and then variables financial uncertainty, valuation confidence index, Crash Confidence Index have almost equally affected stock returns