标题： 股权市场波动性、制度依赖性和经济不确定性：太平洋盆地的案例 显示英文标题

标题： Equity Markets Volatility, Regime Dependence and Economic Uncertainty: The Case of Pacific Basin

摘要： 本研究探讨了在经济不确定时期，iShares亚洲50ETF（AIA）的市场波动性与来自美国、中国和全球的经济和市场情绪指标之间的关系。具体而言，它考察了AIA波动性与关键指标如美国经济不确定性指数（ECU）、美国经济政策不确定性指数（EPU）、中国经济政策不确定性指数（EPUCH）、全球经济政策不确定性指数（GEPU）以及芝加哥期权交易所的波动率指数（VIX）之间的关联，时间跨度为2007年至2023年。采用双协变量GARCH-MIDAS模型、状态转换马尔可夫链（MSR）和分位数回归（QR）等方法，该研究探讨了AIA波动性与经济/市场情绪之间的状态依赖动态，同时考虑了投资者在不同状态下对市场不确定性的敏感性。研究结果表明，实现波动性与情绪之间的关系在高波动性和低波动性状态下存在显著差异，反映了在这些条件下投资者对市场不确定性的不同反应。此外，短期波动性与经济/市场情绪指标之间观察到较弱的关联，表明这些指标可能具有有限的预测能力，尤其是在高波动性状态下。QR结果进一步证明了MSR估计值在大多数分位数中的稳健性。总体而言，该研究为市场波动性与经济/市场情绪之间的复杂相互作用提供了有价值的见解，为投资者和政策制定者提供了实际意义。 显示英文摘要

摘要： This study investigates the relationship between the market volatility of the iShares Asia 50 ETF (AIA) and economic and market sentiment indicators from the United States, China, and globally during periods of economic uncertainty. Specifically, it examines the association between AIA volatility and key indicators such as the US Economic Uncertainty Index (ECU), the US Economic Policy Uncertainty Index (EPU), China's Economic Policy Uncertainty Index (EPUCH), the Global Economic Policy Uncertainty Index (GEPU), and the Chicago Board Options Exchange's Volatility Index (VIX), spanning the years 2007 to 2023. Employing methodologies such as the two-covariate GARCH-MIDAS model, regime-switching Markov Chain (MSR), and quantile regressions (QR), the study explores the regime-dependent dynamics between AIA volatility and economic/market sentiment, taking into account investors' sensitivity to market uncertainties across different regimes. The findings reveal that the relationship between realized volatility and sentiment varies significantly between high- and low-volatility regimes, reflecting differences in investors' responses to market uncertainties under these conditions. Additionally, a weak association is observed between short-term volatility and economic/market sentiment indicators, suggesting that these indicators may have limited predictive power, especially during high-volatility regimes. The QR results further demonstrate the robustness of MSR estimates across most quantiles. Overall, the study provides valuable insights into the complex interplay between market volatility and economic/market sentiment, offering practical implications for investors and policymakers.