Since the multifractal detrended partial correlation analysis method (MFDPXA) cannot measure the asymmetric dependence relationship under different trends (upward and downward), this paper proposes the multifractal asymmetric detrended partial crosscorrelation analysis method (MFADPXA). Furthermore, the paper proposes a removing factors timedelayed detrended crosscorrelation analysis (ETDDCCA) to study the risk transmission direction between stock markets. Taking Shanghai Component Index, Shenzhen Component Index, and Hang Seng Index as research objects, this paper empirically analyzes the asymmetric crosscorrelation and risk transmission between pairwise stock markets after removing the common influencing factors. The results show that, after removing the influence of one stock market, the longmemory crosscorrelation between the other two stock markets is weak. When the return trend is upward, the long memory crosscorrelation increases, and when the return trend is down, the crosscorrelation shows antipersistence. The degree of asymmetry is greater when the fluctuation is large. The local cross correlation between the pairwise stock markets shows a weakening trend over time. As the time lag increases, the antipersistent crosscorrelation between the twotwo stock markets is enhanced. The risk of the Shenzhen Component index is mainly transmitted to the Shanghai Component Index, and the risk of the Shanghai Component Index is mainly transmitted to the Hang Seng Index. The Hang Seng Index has a stronger impact on the Shenzhen Component Index. This study has implications for reunderstanding the intrinsic dependent structure and risk transmission of Shanghai, Shenzhen, and Hong Kong stock markets, crossmarket portfolio, and risk management.