A Multidimensional Analysis of the Relationship Between Systematic Risk Indicators and Stock Market Returns in Tehran Stock Exchange

Abstract

This study aims to comprehensively examine the impact of various systematic risk indicators, including beta, economic policy uncertainty, investor sentiment, and higher-order moments, on stock market returns. This applied, descriptive–analytical study utilizes monthly panel data from 85 actively traded firms on the Tehran Stock Exchange covering 2011–2023. Data were collected from official financial and economic databases and analyzed using multiple linear and nonlinear regression models in EViews and Stata. Key variables included market return, beta, economic policy uncertainty index, investor sentiment index, systematic skewness, and systematic kurtosis, while economic instability periods such as sanctions were incorporated through interaction terms. The results indicate that beta, economic policy uncertainty, and investor sentiment exert a positive and statistically significant effect on market returns, whereas systematic skewness shows a significant negative effect and systematic kurtosis exhibits no significant impact. Moreover, the risk–return relationships intensify significantly during sanction and macroeconomic instability periods, and the proposed model demonstrates satisfactory explanatory power with an R² of 0.34. The findings confirm that systematic risk is inherently multidimensional, and reliance on beta alone is insufficient for explaining market behavior in emerging economies, underscoring the necessity of adaptive and comprehensive risk models for Iran’s capital market.