Using the data of A-share listed companies from 2007 to 2017, this paper investigates how economic policy uncertainty affects stock liquidity. The empirical results show that the increase of economic policy uncertainty will lead to the decline of stock liquidity, and analyst tracking will have an impact on economic policy uncertainty and stock liquidity, which can effectively restrain the decline of stock liquidity caused by economic policy uncertainty. Further research shows that compared with the enterprises with high institutional investors, the positive moderating effect of analyst tracking on economic policy uncertainty and stock liquidity is more significant. On the one hand, this paper enriches the research literature on economic policy uncertainty and stock liquidity, and on the other hand, it also provides a theoretical basis and empirical evidence for how to improve stock liquidity.