Shanghai-Hong Kong Stock Connect is a major innovation for the liberalization of China’s capital market，which has drawn wide attention from the society and academia recently． Considering Shanghai-Hong Kong Stock Connect as a natural experiment and employing the database of Chinese listed firms from 2009 to 2016，the propensity-score-matching and difference-in-difference model ( PSM-DID) are used to examine how capital market liberalization influences stock price crash risk． The results show that，firstly，compared with the non-Shanghai-Connect stock，the implementation of the Shanghai-Hong Kong Stock Connect significantly reduces the stock price crash risk of Shanghai-Connect firms listed in Shanghai Stock Exchange． Second，this negative effect mainly exists in firms with lower liberalization degree． Third，the mechanism that Shanghai-Hong Kong Stock Connect can reduce stock price crash risk lies in that Shanghai-Hong Kong Stock Connect enhances the information transparency of the Shanghai-Connect stocks and lowers the degree of noise trading．At last，additional evidence shows that Shanghai-Hong Kong Stock Connect has no significant effect on the stock price crash risk in Hong Kong market． These findings show that the openness of the capital market helps to promote its stable and healthy development． The conclusion of this paper not only extends the research on stock price crash risks，but also provides important implications for the regulatory authorities to further promote the openness of the capital market．