This paper examines the impacts of global economic policy uncertainty (GEPU), geopolitical risk (GPR), and climate policy uncertainty (CPU) on stock returns of 10 MENA countries using the SVAR approach from January 2003 to August 2023. The results show that global economic policy uncertainty exerts significant negative effects on stock returns for all countries except Lebanon, Morocco, and Tunisia. Geopolitical risk and climate policy uncertainty have no impact on stock returns. These results imply that global economic uncertainty is a systematic risk factor that can be used to forecast stock returns. Moreover, the results also provide implications for policymakers to regulate markets in maintaining financial stability and investors to respond to future shocks from these global economic factors with respect to risks and opportunities.