The empirical results show that the dynamic conditional correlation (DCC) and the bivariate AIGARCH (1, 1) model is appropriate in evaluating the relationship of the Hong Kong’s and the Shanghai’s stock markets. The empirical result also indicates that the Hong Kong’s and the Shanghai’s stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.4868, which implies that the two stock markets is synchronized influence. Besides, the empirical result also shows that the Hong Kong’s and the Shanghai’s stock markets have an asymmetrical effect. The return volatility of the Hong Kong and the Shanghai stock markets receives the influence of the positive and negative values of the U.K. and the U.S. stock market volatility. For example, under the good news of the U.K. and the U.S. stock markets, the empirical result also shows that the Hong Kong and the Shanghai stock markets can reduce the fixed variation risk. Key Words: Stock Mrket, Asymmetric Effect, IGARCH Model, AIGARCH Model.