This study develops a conceptual framework to examine the impact of economic policy uncertainty (EPU) and investor sentiment (IS) on stock market volatility (SMV) in China at both market and firm levels. A time-varying parameter vector autoregression model with stochastic volatility (TVP-VAR-SV) is employed to capture the dynamic interactions among EPU, IS, and SMV at the market level. This approach visually captures the evolving patterns of economic variable parameters over time and precisely identifies structural breakpoints through Chow’s test validation, thereby providing a robust basis for sample segmentation in subsequent firm-level analysis. At the firm level, firm-level EPU exposure and firm-specific IS sensitivity are used to investigate the mediating role of IS in the EPU–SMV relationship through panel regressions. Institutional investor activity is also incorporated to enhance firm-level evidence. Grounded in real options theory, herd behaviour theory, noise trading theory, and information asymmetry theory, this study provides new insights into the evolving EPU–IS–SMV nexus in the Chinese market context.
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