This paper investigates herding behavior between Chinese A-share and HK stock market based on Shanghai-Hong Kong Stock Connect. This research innovatively details the difference in herding behavior between two markets bidirectionally. By applying CCK model and quantile regression, we examine herding behavior between Chinese and HK stock market in asymmetric situations from the perspective of net capital flow of Shanghai-Hong Kong Stock Connect. Our findings suggest that the impact of HK share on A share's herding behavior increases after Shanghai-Hong Kong Stock Connect starts trading. To some extent, the direction of net capital flow of Shanghai-Hong Kong Stock Connect acts as a powerful indicator for investors, which skillfully deflects Chinese stock market. Besides, the way in which HK's stock market influences that of Chinese mainland has undergone a transformation.Herding refers to the tendency of investors' imitating others trading decision. According to the definition of Christie and Huang (1995), herd behavior is a phenomenon that people give up their personal judgment and base their investment decisions on collective behavior in the market, mimicking the investment decisions of others. This can be explained by psychological mechanism. Kameda and Nakanishi (2003) argue that herding behavior depends on the cost of information collection. When the economic cost of information collection and cognition becomes high, investors tend to follow behavior of others in order to save resources. In addition, heuristic is one of the ways in which humans process information (Jiang et al., 2010). Investors treat investment behaviors of others and experts as a source of information. Therefore, when faced with uncertainty, they tend to be consistent with others' trading activity for believing that others' investment information is more efficient and authoritative.After implementation of Shanghai-Hong Kong Stock Connect, China's stock market has become the world's 2rd largest one in terms of market capitalization and trading volume (in a broad sense, including Shanghai, Shenzhen and Hong Kong stock market). However, Chinese's stock market as an emerging one has some defects such as irrational valuations, excessive volatility and imperfect regulations. Among A-share investors, individual investors account for more than a half, indicating that they are still the investment entities with the greatest influence in the market. These problems further increase the irrationality of investment behavior. Therefore, understanding herd behavior of China's capital market is of great significance for improvement of capital market efficiency and the integration of A stock market and HK equity market.This study focuses on bidirectional herd behavior between A-share and HK stock market. Specifically, this paper examines the cross-market contagion of herd behavior between the two stock markets before and after the launch of Shanghai-HK Stock Connect. This study innovatively details the difference of cross-market herding behavior between the ...