This　essay　sets　constituent　stocks　of　Shanghai-Hong　Kong　Stock　Connect　Program　(SHSCP)　as　objects.　Empirical　study　on　announcement　effects　from　SHSCP　is　conducted　with　daily　data　between　21st　February　2014　and　14th　January　2015.　The　results　of　abnormal　yield　tests　indicate　stronger　announcement　effects　in　Hong　Kong　stock　market　comparing　with　Shanghai.　Both　volatility　and　Granger＇s　causality　test　reveals　that　Hong　Kong　stock　market　was　higher　in　volatility　and　more　sensitive　to　information　under　the　premise　of　co-movement　between　the　two　markets.　Accordingly,　this　essay　raises　policy　suggestions　on　the　effectiveness　of　mainland　stock　market　and　the　development　of　SHSCP.　This　study　enables　a　deeper　understanding　on　the　comparison　between　the　announcement　effects　respectively　in　Shanghai　and　Hong　Kong　stock　markets　derived　from　＂SHSCP＂　(Shanghai),　which　builds　the　basis　for　future　in-depth　research　in　this　field.