Global economic policy uncertainty (GEPU) is one of important phenomena in the global economy; it can impact on the overall economic performance and stock market per-formance, regardless of the status of the world economy. Thus, this paper empirically investigates the impact of global economic policy uncertainty on the Malaysian stock market over the period from 10:2003 to 2017:03. Using the GARCH model, the study demonstrates that global policy uncertainty affects the Malaysian stock market negatively. Similarly, the SVAR model also shows results consistent with the GARCH estimation. Nevertheless, the Markov switching estimation uncovers that global policy uncertainty has negative impacts on stock market performance in both low and high volatile market states. The impact is, however, greater during the high volatile state. Hence, the relationship between global economic policy uncertainty and stock market returns tends to be asymmetric. The overall empirical results infer that global economic policy uncertainty has some implications for asset pricing.

中文翻译：

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全球经济政策不确定性对新兴股票市场的影响：来自线性和非线性模型的证据

全球经济政策不确定性（GEPU）是全球经济中的重要现象之一。无论世界经济状况如何，它都会影响整体经济表现和股市表现。因此，本文对10：2003至2017：03期间全球经济政策不确定性对马来西亚股市的影响进行了实证研究。使用GARCH模型，研究表明全球政策的不确定性对马来西亚股票市场产生了负面影响。同样，SVAR模型也显示与GARCH估计一致的结果。然而，马尔可夫转换估计发现，在低波动性市场和高波动性市场状态下，全球政策的不确定性都会对股票市场的表现产生负面影响。然而，在高挥发性状态期间影响更大。因此，全球经济政策不确定性与股票市场收益之间的关系往往是不对称的。总体的经验结果表明，全球经济政策的不确定性对资产定价有一定的影响。