We　investigate　the　relationships　between　Shanghai　and　Shenzhen　stock　market,　and　reveal　the　evidence　of　cross-correlations　between　the　two　stock　markets.　Our　main　findings　show　that　Shanghai　and　Shenzhen　stock　market　are　cointegrated,　and　also　present　the　evidence　of　strong　error-correction　effect　in　the　short-rate　equation,　whereas　the　point　estimate　for　the　error-correction　term　is　small　and　not　statistical　significance　in　the　long-rate　equation.　Finally,　Shanghai　stock　market　ECT　coefficient　shows　the　evidence　of　long-term　equilibrium　in　the　first　regime,　while　in　the　second　regime　the　coefficient　of　correction　term　is　larger　than　that　of　the　first　regime,　indicating　the　rate　convergence　to　long-term　equilibrium　is　not　uniform.　(C)　2013　Elsevier　B.V.　All　rights　reserved.