Abstract:At present, the world political and economic situation is treacherous, and there are more and more uncertain events.The new crown pneumonia epidemic that has swept the world in 2020 has made micro-parties panic about policy uncertainty under the epidemic to an unprecedented height. Therefore, it is very important to study the impact of economic policy uncertainty on capital markets.The non-linear autoregressive distributed lag model (NARDL) is used to study the possible asymmetric effects of the uncertainty of Chinese and American economic policies on the return of Chinese stock markets, and further study the influence of the uncertainty of Chinese and American economic policies on the return of stocks in different industries .The research results show that the China-US economic policy uncertainty index has a negative impact on stock market returns in the long run; in the short term, China’s economic policy uncertainty has no significant impact on stock market returns, but the uncertainty of US economic policy has a positive impact on stock market returns influences.In addition, there is an asymmetry in the impact of economic policy uncertainty between China and the United States on stock returns, that is, the impact of falling economic policy uncertainty on stock market returns is always greater than the impact of rising economic policy uncertainty on stock market returns.From a sub-industry perspective, only the health and financial real estate industry stock returns have a co-integration relationship with the US economic policy uncertainty index. The direction and symmetry of the relationship between stock returns in different industries and economic policy uncertainty have industry characteristics. Finally, possible explanations and corresponding policy recommendations are given to the research results.Key Words:Economic uncertainty;Stock income;Asymmetric influence
