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In this paper, we select yield series of the SSE index and the S & P 500 index as the research object. Firstly, we take the financial crisis as the dividing point, and decompose the whole sample period into three periods: before the financial crisis, during the financial crisis, and after the financial crisis. Secondly, the degree of interaction between Chinese and American stock markets was tested and calculated in stages, and the cross-correlation relationship became more significant afterdoi:10.4236/ojs.2019.91011 fatcat:6qikpiirrncaxnq7d7bh45qr54