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• The synchronous and asynchronous cycles between stock markets are investigated. • The joint behavior switches between synchronous and asynchronous cycles. • The U.S. EPU has an impact on the U.S. conditional variance. • The Japanese EPU has no impact on the Japanese conditional variance. • The correlation asymmetry is present. This research develops an endogenous Markov-switching interdependent mechanism with volatility persistence and interdependent correlations to analyze synchronous and asynchronous volatility cycles between the U.S. and Japanese stock markets and to investigate the impacts of economic policy uncertainty indices on volatility cycle dynamics. Empirical results show that: (i) the joint behavior switches between synchronous and asynchronous patterns; (ii) there is evidence for an asymmetric impact of the uncertainty index on conditional variance for the U.S. market, but not for the Japan market; and (iii) a correlation asymmetry with respect to synchronous and asynchronous patterns is present. [ABSTRACT FROM AUTHOR]

• The dynamic relationship between the US and two Asian REIT markets is considered. • We compare the systematic jump risk and idiosyncratic jump risk. • The market jump risk of US can affect the volatility of Asian markets. • The systematic jump risk is more important than the idiosyncratic jump risk. • The correlation between US and Hong Kong is bigger than that between US and Japan. This paper investigates the impact of the jump risk of the US REIT market on the volatility dynamics for the REIT markets of Japan and Hong Kong, and devises a novelty bivariate jump framework that can distinguish between the systematic jump risk and idiosyncratic jump risk. The empirical results show that the volatilities for the REIT markets of Japan and Hong Kong are affected by both the idiosyncratic jump risk and the systematic jump risk of the US market, and that the contribution of the systematic jump risk is more important than the idiosyncratic jump risk. [ABSTRACT FROM AUTHOR]