Abstract: To test the impact of international stock markets on Shanghai stock market, assuming respectively that the model disturbance obeys normal distribution, student's t distribution or generalized error distribution(GED),EGARCH and GJR-GARCH were used separately to study the main indices of international stock markets—including SP500,HIS,N225,FTSE—and Shanghai composite index during 2000—2011. Then the fittest model was chosen according to the maximum likelihood function value criterion and the Akaike information criterion. The result of empirical analysis shows that the Hong Kong market and the U.K. market have positive influences on Shanghai market, while the United States market and Shanghai market are negatively correlated. The Hong Kong market has the most significant effect on the stock market of Shanghai, while the Japanese stock market has no obvious effect. Meanwhile it also shows the SSEC has lever effect, that is to say, it appears to be more volatile in response to negative shocks than to positive shocks.