As a necessary way to link the financial market between the mainland and Taiwan, the cross-strait financial opening policy has been widely recognized and practiced on both sides of the Taiwan straits, which has impacted and affected the financial market on both sides of the Taiwan straits. As a stock market with frequent capital flows and sensitive to the impact of various economic factors, the proposal of cross-strait financial opening policy will mean the challenge of capital market between the two sides. This paper mainly studies the effect of the implementation of cross-strait financial opening policy on the volatility of stock market returns on both sides of the straits, and conducts theoretical and empirical analysis. Taking the trading data of the stock markets on both sides of the straits from January 2007 to August 2017 as the research object, ADF and LM test analysis were respectively carried out for the three yield sequences, and then the data was studied by using the corresponding GARCH model of the three income sequences, so as to verify the effect of cross-strait financial liberalization policies on the overall return volatility of the stock markets on both sides. Finally, this paper explains and analyzes the empirical results from the perspectives of the financial market theory and the economic development on both sides of the Taiwan straits, and puts forward relevant policy Suggestions from the aspects of stock market reform, cross-strait market access and cross-strait financial opening.