Since the COVID-19 pandemic, world economic uncertainty has been enhanced, coupled with the impact of geopolitics and continuous innovation of policy instruments, the economy has been increasingly influenced by economic policy uncertainty. The stock market bridges the financial world and the real economy, reflecting both the conditions of production and transactions in the real economy as well as the liquidity and prosperity of the financial market. The stock price index is the most intuitive variable depicting the performance of industries’ performance in the stock market. The research investigates the relationship between economic policy uncertainty and stock price variation in the U.S., analyzing how economic policy uncertainty affect the stock market. The research uses monthly data from April 2019 to April 2024, consisting of the economic uncertainty index and stock price indices for various sectors of the U.S. small and mid-cap industries. The study constructs VAR models based on the data and further conducts the Granger causality test to find causality relationships between variables. The results of the study show that economic policy uncertainty granger causes changes in the stock price index in the finance and energy industry. The stock price index of the utility industry granger causes changes in the economic policy uncertainty. The study investigates the relationship between economic policy uncertainty and stock price fluctuations, identifying the industries most affected by economic policy uncertainty. It provides a basic guide for participants in the financial markets and policymakers.