In this paper, by using monthly data from 2000 to 2010, the role of stock market return dependence on regime switching has been obtained which is based on a two regime MS-EGARCH (1, 1). The estimation results for zero models are consistent with high variance-high mean regime and regime one is consistent with low variance-low mean. According to the results, estimated coefficients of inflation rate in zero regime in level and first delay are positive and significantly different from zero, but in regime one only in level is significantly different from zero. The aforesaid results demonstrate inflation rate asymmetrical impacts on stock return within its two recessions and expansion regimes. We notice that a high inflation rate decreases the probability of staying in a “low mean–low variance” regime. While, in the other regime, as inflation rate becomes increasingly high, the probability of staying in the “high return-high variance” regime increases.