The correctly understanding of the relationship of the stock markets between China and the United States is conducive to calmly dealing with the complex international and domestic situation and preventing the transmission of financial risks. This paper took the Shanghai Composite Index and the Dow Jones Industrial Average Index as variables, chose the data from July 9, 2003 to May 31, 2018 as sample data, and took the impact of major events into account, then divided the data into three phases to be analyzed by Copula function. At the same time, the paper also makes a comparative analysis of the linkage of the stock markets between China and Europe, China and Britain, China and Japan. The study found that the correlation coefficients of the three stages between Chinese and the American stock market were 0, 3.75% and 14.81% respectively, which reveal that the linkage had been gradually strengthening, the correlation coefficients between Chinese and European stock markets and between China and the United Kingdom are 18.54% and 16.65%, respectively, which indicate that the linkage is higher than that between China and the United States. The correlation coefficient between China and Japan is 13.39%, which is weaker than that between China and the United States. According to the conclusion of this study, it is proposed that financial supervision should be carried out by early warning from an international perspective and prevention of financial risks. The investors’ arbitrage portfolio strategy should fully consider the increasing linkage of the stock markets between China and developed countries, then economic and trade relations with developed countries or regions should be developed in a balanced way.