In this thesis, we study on the one hand, the Economic and Policy Uncertainty (EPU) indexes for China, Hong Kong (region) and the United States; on the other hand, the Stock market indexes in these three markets and their corresponding indexes are the SSEC index, the HSI and the S&P 500 respectively. We not only apply the Box-Jenkins methodology to analyze time series datasets, but also apply the Dynamic Conditional Correlation (DCC) model to estimate the conditional correlation between these three analyzed markets. We use the EPU index for China as a reference, as well as the SSEC index. First, we compare the EPU index for China with EPU index for Hong Kong (region) and the United States. Afterward, we compare the SSEC index with the HSI and the S&P 500. Finally, we try to find a relationship between EPU indexes and their corresponding stock market indexes.