With the implementation of Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect programs, the interrelationships among Shanghai, Shenzhen and Hong Kong stock markets have become increasingly close. Therefore, a better understanding of the evolution of Shanghai, Shenzhen and Hong Kong stock markets’ interrelationships is of great value for maintaining the stability of these stock markets. In this paper, a multilayer network of Shanghai, Shenzhen and Hong Kong stock markets is constructed to analyze the evolution of these stock markets’ interrelationships, in which both the correlation between stock returns and that between investor sentiments are considered. The experimental results show that, after the implementation of Shanghai-Hong Kong Stock Connect program, only the correlation between stock returns and investor sentiments in different stock markets is significantly enhanced. However, after the implementation of Shenzhen-Hong Kong Stock Connect program, the interrelationships among Shanghai, Shenzhen and Hong Kong stock markets are improved significantly. Additionally, the correlation between stock returns and investor sentiments in different markets is not symmetrical. Specifically, the correlation between stock returns in Shanghai, Shenzhen stock markets and investor sentiments in Hong Kong stock market is high, while the correlation between stock returns in Hong Kong stock market and investor sentiments in Shanghai, Shenzhen stock markets is low.