One of the factors that investors consider in their decisions is the return on equity. Achieving this return is possible in a situation where economic stability exists. One of the aspects of economic stability is the stability of economic policies that plays an important role in the economy of the country. So, if there is uncertainty about economic policies, this uncertainty will unconscious of the economic activists towards future economic developments, and the subsequent owners of the capital will be able to make decisions for the future, including capital and the money market and the capital market will be in trouble. Considering the importance of the issue in this paper, using the Markov Switching Model and applying annual data, we investigate the effect of economic policy uncertainty on the return on Iranian stock market during the period of 1981-2016. In this research, the variables of economic growth rate, inflation rate, unemployment rate, interest rate and liquidity growth rate are used as independent variables. In order to measure economic policy uncertainty, exchange rate fluctuations and government budget deficits are also used. The findings of the paper show that dynamic communication of uncertainty in economic policies and stock market returns is always negative, as the increase in uncertainty in economic policies significantly reduces capital market returns. Also, the relation between stock market returns and the uncertainty of nonlinear economic policies and the uncertainty about the return on capital during a period of high-fluctuation diet is stronger and more stable.
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