Abstract: Taking changes in China’s economic policies as a starting point, this paper studies the dynamic correlation between China’s stock markets and macro-economy with the data from January of 1995 to June of 2013 based on theoretical derivation. The results show that there indeed exists asymmetric correlation between China’s stock market and macro-economy. The correlation coefficient in downturn condition is greater than that in boom condition. China’s stock market has a more significant “barometer” function in economic downturn. Although uncertain policies can indeed affect asymmetric intensity of dynamic correlation between stock market and macro-economy, macroeconomic fluctuation has stronger impact on the asymmetric intensity of the dynamic correlation between the stock market and macro-economy.

Key words: policy uncertainty; asymmetric effect; macro-economy