The Impact of Economic, Geopolitical, and Climate Uncertainty on Stock Market Returns in MENA Countries: Evidence from a SVAR Model
Purpose: Global uncertainty has become an increasingly important factor influencing financial market behaviour. This study examines the impact of global economic policy uncertainty, geopolitical risk, and climate policy uncertainty on stock market returns in selected MENA countries, aiming to identify whether these uncertainty measures function as systematic risk drivers affecting regional financial performance. Design/Methodology/Approach: The study employs a Structural Vector Autoregression (SVAR) model to analyse the dynamic relationships between global economic policy uncertainty (GEPU), geopolitical risk (GPR), climate policy uncertainty (CPU), and stock market returns across ten MENA countries over the period January 2003 to August 2023. Findings: The empirical results show that global economic policy uncertainty has a statistically significant negative effect on stock market returns in most countries in the sample, except for Lebanon, Morocco, and Tunisia. In contrast, geopolitical risk and climate policy uncertainty do not demonstrate significant effects on stock market returns. These findings indicate that economic policy uncertainty represents a key systematic risk factor influencing regional financial markets. Practical implications: The findings provide important insights for policymakers seeking to enhance financial stability under conditions of global uncertainty. Investors and financial analysts may also use economic policy uncertainty indicators as predictive signals of market risk and return fluctuations. Originality value: This study contributes to the literature by jointly analysing economic, geopolitical, and climate-related uncertainties within a unified SVAR framework, offering new empirical evidence on their comparative effects on stock market performance in the MENA region.