Relatively low opening level of the capital market has impeded deep integration of China’s economy into international economy to some extent. Therefore，China successively established“Shanghai-Hong Kong Stock Connect”and“Shenzhen-Hong Kong Stock Connect”in order to raise the openness of the equity market. Have the linkages of Shanghai-Hong Kong and Shenzhen-Hong Kong stock markets been enhanced since the launch of the two schemes？ This paper builds ARMA-GARCH-Copula model to analyze market dependence degree and structure，based on stock price statistics among Shanghai，Shenzhen and Hong Kong stock markets from December 16，2011 to December 28，2018. It is found that the dependence between the returns of the two market indices has not significantly increased in the short run after the launch of“Shanghai-Hong Kong Stock Connect”；and that the establishment of“Shenzhen-Hong Kong Stock Connect” has enhanced both Shenzhen-Hong Kong and Shanghai-Hong Kong stock market dependence. The price return co-movement effect is more obvious when the markets are on the upturn，and tail risk dependence during market downturn maintains rising，indicating that the possibility of risk transmission ascends. At last， suggestions are proposed for promoting the openness of China’s equity market from the perspectives of operation efficiency of connectivity mechanism， opening experience in pilot programs and financial risk management and supervision.