Based on the monthly panel data of the Shanghai stock market from November 2012 to November 2016, this article studies the impact of the Shanghai–Hong Kong Stock Connect on the stability of stock prices in different periods and in varying degrees of market openness by using the difference-in-differences (DID) fixed effects model. The study finds that the implementation of the Shanghai–Hong Kong Stock Connect effectively reduces the volatility of underlying stocks and that the short-term increase in volatility is merely a temporary phenomenon. Under a comparatively higher degree of market openness, the Shanghai–Hong Kong Stock Connect will also have an impact on extreme volatility of underlying stocks, reducing the jump risk in stock prices and speculation on China's A-share market. However, it also increases the stock price crash risk and brings about market instability. Of particular interest, the observed increase in stock price crashes is related to firms with poor information disclosure practice.