Equity Markets Volatility, Regime Dependence and Economic Uncertainty: The Case of Pacific Basin
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股票市场波动、状态依赖与经济不确定性：环太平洋市场研究
- 研究问题
- 2007—2023年亚洲50 ETF 的波动与美国、中国及全球不确定性和市场情绪指标如何关联，这些关系是否随波动状态变化？
- 方法与思路
- 作者使用双协变量 GARCH-MIDAS、马尔可夫状态切换及分位数回归，考察经济和市场情绪与波动的状态依赖关系。
- 材料陈述的贡献
- 摘要报告，高低波动状态下关联存在差异，短期波动与情绪指标的关联较弱，且多数分位数结果支持状态切换估计。
- 阅读关注点
- 应核对波动指标、混频处理和状态定义，指标进入模型的时点，以及所谓预测能力是否经过严格的样本外检验。
- 阅读边界
- 这是 arXiv 预印本，同行评审及期刊接收未经核实；摘要主要报告关联，未提供因果识别、具体系数或预测检验数值。
原文摘要
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.