Financial risk contagion is not only an important factor that should be considered in asset allocation and hedging decisions，but also directly related to the security and stability of the financial system of a country or even the world． Using risk contagion tests of higher order co-moments( co-skewness，co-volatility and cokurtosis) ，this paper analyzes the financial risk contagion between Shanghai and Hong Kong stock markets before and after the implementation of Shanghai-Hong Kong Stock Connect program empirically． The main results show that after the implementation of Shanghai-Hong Kong Stock Connect program，the statistics of risk contagion from Shanghai to Hong Kong stock market increase according to the order of the first class co-skewness ( from mean to volatility) ，co-volatility，adjusted correlation and co-kurtosis． Similarly，the channels of contagion from Hong Kong to Shanghai stock market are fourth order co-moments( co-volatility and co-kurtosis) ，the first class co-skewness and adjusted correlation in order according to the value of risk contagion statistics． Generally， higher order co-moments have become the main risk contagion channels between Shanghai and Hong Kong stock market． Due to the net capital flows，investor education and so on，the risk contagion effect from Shanghai to Hong Kong stock market is stronger．