This article, on the basis of previous researches, focusing on home stock market, and chooses two periods, including the Asian financial crisis and the global financial crisis, studies the change of co-movement effect between the mainland stock market and overseas markets. Our research is on the purpose of supplying more useful guidance for how to defend and reduce the shock of external equity markets, how to optimize the equity market in the allocation of resources, and how to make contributions for the long-term growth of the GDP.

The co-movement mechanism between domestic and overseas stock market has been systematically and widely discussed in this paper, which combined the two financial crisis and compared the perspectives of international trade, debt accumulation effect, long and short term international floating capital, and the expectation theory, then arrived at the empirical test conclusion of a weak linage effect during the Asian financial crisis because of the enclosing situation of stock markets, but of a relatively influential effect from the international market, contributed to the openness of China’s stock market to outside during the global financial crisis.

Then, it comes to the empirical part of this paper, which has been reviewed from different perspectives, such as Johansen Co-integration test, Granger Causality test, BEKK-MGARCH model and Copula model, to examine the linear relationship, spillover effect of yields, spillover effect of nonlinear fluctuations and tail relationship. The empirical results showed that, first, there’s no co-integration relation or spillover effect of yields between Shanghai Stock Exchange Composite Index and Dow Jones Index or Hang Seng Index, while a significant relationship during the global financial crisis; Second, no spillover effect of nonlinear fluctuations was detected between Shanghai Stock Exchange Composite Index and Dow Jones Index or Hang Seng Index, while there’s a one-way spillover effect of nonlinear fluctuations to China’s market and a two-way effect between Hong Kong and Shanghai stock market.

Furthermore, the three markets all showed a fluctuation aggregation and durability. Third, after the Asian financial crisis, a relatively notable up-tail relationship was examined between mainland and HongKong stock market, while during the global financial crisis, the under-tail relationship was exhibited between Shanghai stock market and American, as well as Hong Kong markets. Therefore, the results of empirical tests displayed the fact that there’s no linkage relation during the Asian financial crisis, but a significant one during the global financial crisis, which are given as our two assumptions in preceding part.

At the end of this paper, several policies were recommended, based on the theoretical analysis and empirical results.These policy recommendations about proper balance between threats and opportunities to achieve a long-run and stable development goals during the financial crisis include strengthening the financial supervision, (especially to the sysmatical risks) and the cooperations among the finacial regulatory bodies, deepening the finacial system reformations, building up a complete market institution, gradually opening the capital market and account, and driving the internationalization process of RMB; secondly, China should adopt some policies, such as gradually transforming economic development pattern, expanding the domestic demand and realizing the stable improvement of economy; last but not the least, Chinese need to help promote the reformation of international monetary and financial system in order that the speculative capitcal flows would be monitored more effectively to stablize the long-term development of global finance and economy.

The main innovation of our article is the empirical idea and method. We divide the investigation of co-movements into three parts: linear, nonlinear and tail relationship. According to such a division we test them in a rigorous way, especially, the treatment of Copula model has demonstrate the importance of comparative analysis method which is the core method of this article. Besides, the theoretical discussion has covered the most popular researching results in the world, such as financial panic theory and so on. Therefore, this part not only makes up the disadvantage of “only empirical skyscraper, no theoretical foundation”, but also provides a fine direction for future research.