Abstract: As a major financial innovation of China's capital market reform, the implementation of "Shanghai-Hong Kong Stock Connect Program" has profound influence on the promotion of the integration of Chinese capital market and foreign capital markets. This paper models the volatility of stock returns series in Shanghai and Hong Kong stock markets by using Beta-skew-t-EGARCH model and then uses the Copula function to analyse the co-movement relationships between Shanghai and Hong Kong stock markets before and after the implementation of the "Shanghai-Hong Kong Stock Connect Program". The results indicate that the co-movement relationships between the two cities enhanced after the implementation of this Program, and the program speeds up the integration process between these two cities. From the point of tail dependence coefficient view, the probability of the two synchronous decline is greater than that of synchronization increase after the implementation of "Shanghai-Hong Kong Stock Connect Program". Moreover, the two markets response to the impact of volatility increased after the Program.