This research investigates the impacts of U.S. and Japanese uncertainty shocks on the transition mechanisms of the Japan stock market dynamics by utilizing the Markov-switching GARCH-jump model with a time-varying transition probability matrix and analyzes the economic policy uncertainty shock of Japan, the economic policy uncertainty shock of the U.S., and the uncertainty shock about the U.S. equity market volatility. The empirical results demonstrate that the Japan stock market responds to most shocks with the exception of the U.S. economic policy uncertainty shock. The equity market volatility shock of the U.S. plays a more crucial role than the economic policy uncertainty shock of Japan. Furthermore, an increase in the U.S. equity market volatility shock reveals totally different signals in different volatile states. It signals an adverse belief about the Japan stock market in a high-volatile state, but signals an optimism viewpoint about the Japan stock market in a low-volatile state. Finally, the impact of the uncertainty shock about the U.S. stock market volatility is stronger in a high-volatile market than in a low-volatile market.

本研究利用具有时变转换概率矩阵的马尔可夫转换 GARCH-jump 模型研究美国和日本不确定性冲击对日本股市动态转换机制的影响，并分析日本的经济政策不确定性冲击，美国经济政策不确定性冲击，以及美国股市波动的不确定性冲击。实证结果表明，日本股市对除美国经济政策不确定性冲击之外的大多数冲击做出反应。美国股市波动性冲击比日本经济政策不确定性冲击更为关键。此外，美国股市波动性冲击的加剧揭示了不同波动状态下完全不同的信号。它表明对日本股市处于高波动状态的负面看法，但表明对日本股市处于低波动状态的乐观看法。最后，美国股市波动的不确定性冲击在高波动市场比在低波动市场的影响更大。