This　study　compares　the　impact　of　Chinese　and　U.S.　economic　policy　uncertainty　(EPU)　(proxied　by　the　EPU　index)　on　the　volatility　of　11　major　stock　markets.　Unlike　previous　research　that　only　utilizes　monthly　EPU　for　such　a　comparison,　this　study　uses　both　daily　and　monthly　data　to　examine　the　impact　within　a　month　as　well　as　over　months.　In　order　to　provide　a　detailed　analysis,　EPU　shocks　are　investigated　from　a　two-sided　viewpoint:　one　considering　the　effects　of　EPU　indices　as　exogenous　shocks,　and　the　other　examining　the　spillovers　from　EPU　indices　as　endogenous　variables.　Meanwhile,　the　role　of　global　turmoil,　such　as　the　2007-2008　global　financial　crisis　(GFC)　and　the　COVID-19　pandemic,　in　influencing　the　impact　of　Chinese　(or　U.S.)　EPU　is　highlighted.　The　results　show　that　the　impact　of　U.S.　EPU　is　reinforced　at　both　daily　and　monthly　frequencies　during　the　GFC,　with　a　greater　effect　on　the　European　stock　markets.　After　the　GFC,　the　rising　influence　of　Chinese　EPU　is　observed　at　a　monthly　frequency　in　several　markets　in　Asia　and　elsewhere.　Overall,　the　dynamic　spillovers　from　the　EPU　indices　to　stock　volatility　suggest　the　dominant　role　of　U.S.　EPU　in　most　markets　at　a　daily　frequency,　while　the　extent　of　the　spillovers　is　driven　by　turbulent　events,　including　the　GFC　and　the　COVID-19　pandemic.