沪港通交易机制的开通作为我国首个互联互通机制的试行，是我国首次资本市场的双向开放，意味着我国资本市场开放进程向前迈进一大步。本文基于沪港通这一政策时点，构造了一个包括实验组和对照组在内的自然实验环境，选取了2012年10月1日至2014年9月30日和2015年1月1日至2016年12月31日两个期间的数据，分别以季度为单位，运用双重差分模型（DiD）来研究沪港通的实施对股票价格稳定性的影响。研究结果表明，沪港通的实施可能通过扩大投资者基础，优化投资者结构，促进价值投资理念的形成等方面显著促进了股票价格的稳定。本文的研究为资本市场的开放提供了一定的案例支持，对以后相关理论的提出以及未来安排资本市场开放的节奏也有一定的指导意义。

The opening of the Shanghai-Hong Kong Stock Connect Program, as China's first formal interconnection mechanism, has further promoted the opening of China's capital market. Based on the exogenous policy of Shanghai-Hong Kong Stock Connect Program, this paper constructs a natural experimental environment including experimental group and control group, and uses Difference-in-Difference model to investigate how Shanghai-Hong Kong Stock Connect Program affect the stability of stock price. The result shows that the implementation of Shanghai-Hong Kong Stock Connect Program has a positive impact on stock price stability probably by expanding the stock investor base, optimizing the market investor structure and promoting the formation of value investment ideas. The result of this paper provides some advice to the policy related and has certain guiding significance to future arrangement of capital market opening.