The tail dependence is closely related to the risks in financial markets． In consideration of the possibility of underestimating or overestimating the tail dependence by traditional methods，this paper develops a smoothing transition mixed Copula model combining with extreme value theory to explore the long-term trend of the tail dependence among A，B and H shares，and finds that there are different motion trends characteristics of the tail dependence in different stock markets． In addition，there is an obvious asymmetric and structural change between the left and right tail dependence，and the asymmetric degree，dependent intensity as well as the timing，location and speed of the structural change are all different from one other． Several major events such as Asia financial crisis in 1997，B shares openness to domestic investors in 2001，QFII in 2002，equity division reform in 2005，QDII reform in 2006 and subprime crisis in 2007 affect the tail dependence between the stock markets variously．