This study aims at investigating the impact of oil price and exchange rate uncertainty on stock returns in Tehran Securities Exchange (TSE). To this end, "oil price uncertainty" and "exchange rate uncertainty" are considered as independent variables and "return on stocks" as the dependent variable. Daily data on the price of heavy oil, official exchange rate and Tehran Exchange Price Index (TEPIX) are used from 1 January 2002 to 31 December 2012. To evaluate the impact of oil price and exchange rate uncertainty on stock returns, the uncertainty is measured using Whitening Linear Transformation method and is estimated using the Vector Auto Regressive model. Results of the estimations of the model show that there is a significant relation between the uncertainty of oil price and stock returns and another between the uncertainty of exchange rate and stock returns. Thus, the hypothesis of this study are confirmed by the error level of 0.05

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使用Whitening线性变换和向量自回归模型研究油价和汇率不确定性对股票收益的影响

本研究旨在调查德黑兰证券交易所（TSE）的油价和汇率不确定性对股票收益的影响。为此，“油价不确定性”和“汇率不确定性”被视为自变量，而“存货回报率”被视为因变量。使用2002年1月1日至2012年12月31日的每日重油价格，官方汇率和德黑兰汇率指数（TEPIX）数据。为评估油价和汇率不确定性对股票收益的影响，对不确定性进行了测量使用Whitening Linear Transformation方法，并使用Vector Auto Regressive模型进行估算。该模型的估计结果表明，油价和股票收益的不确定性之间存在显着关系，而汇率和股票收益的不确定性之间存在另一个关系。因此，这项研究的假设被0.05的误差水平所证实。