This study investigates the relationship between the Auroba-Diebold-Scotti (ADS) business conditions index and the international financial markets of developed countries by employing both linear and nonlinear analytical methods. The ADS index is an important indicator used to measure macroeconomic conditions and may serve as a key factor in understanding the interaction between economic fluctuations and financial market movements. In this study, the relationship between stock markets, uncertainty indices, and the ADS index for developed economies such as Australia, Hong Kong, Japan, and Singapore is analyzed over the period 2010:01–2024:10. The stationarity of the series is examined using the Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) unit root tests, followed by the application of nonlinear unit root tests such as Kapetanios, Shin, and Snell (KSS) and Hu and Chen (2016). Furthermore, both linear and nonlinear Granger causality tests are conducted to explore causal relationships among the variables. The findings reveal significant causal linkages between the ADS index and the stock markets of Australia and Singapore. In particular, a bidirectional nonlinear causality is identified between the Australian stock market and the ADS index. On the other hand, no significant causal relationship is found between the ADS index and the markets of Hong Kong and Japan. By highlighting the impact of the ADS index on international financial markets, this study provides important implications for investors and policymakers. Especially during periods of uncertainty, the ADS index emerges as a crucial indicator that can be utilized in risk management and portfolio diversification strategies.