This paper mainly discusses how the uncertainty of US economic policy affects the behavior of global equity funds’ allocation to emerging markets, and finds that the increase of uncertainty of US economic policy will reduce the asset allocation weight of global equity funds in emerging markets. By introducing a series of variables of emerging countries, we also finds that there is significant national heterogeneity in the process of the impact of US economic policy uncertainty on the allocation of global equity funds to emerging countries.

According to the global financial crisis in 2008, this paper finds that global equity funds have differentiated performance by dividing into three stages: “before the crisis”, “during the crisis” and “after the crisis”. Firstly, in the “during crisis” and “pre-crisis” stages, global equity funds reduce allocation weight of emerging market. In the “post-crisis” stage, global equity funds increase the allocation weight of emerging market when facing an US EPU shock.

With the help of mediating effect analysis, this paper also finds that the uncertainty of US economic policy can affect the allocation behavior of global equity funds to emerging markets by affecting the mediating variable of “investor sentiment”, which is measured by VIX index. Specifically, the emergence of EPU shock in the US will directly lead to the increase of the demand of global equity funds for safe assets (“Flight to Safety” effect), so as to reduce the allocation weight of emerging markets; However, due to the decline of investor sentiment at the same time, some global equity funds will also increase the asset allocation weight of emerging markets due to the asset allocation demand of “Portfolio Rebalance”.