This paper takes the implementation of the Shanghai-Hong Kong Stock Connect policy as a realistic background, and selects November 2012 to November 2016 as the research interval and construct three core indicators of pricing efficiency: the sufficiency of stock price information, the accuracy of stock price information and stock price response speed to information. The double difference model was used for empirical test. The research found that the Shanghai-Hong Kong Stock Connect helps to improve the adequacy and accuracy of stock price information of Shanghai A-share and the stock price response speed to information; meanwhile, the efficiency of stock pricing for state-owned enterprises, high equity checks and balances, and high turnover rate enterprises has improved significantly. Further comparison between the Northbound Trading and the Southbound Trading shows that the two-way capital flow transaction mechanism has different effects on the pricing efficiency of Shanghai A-share stocks. This paper argues that actions should be taken to expand the scope of the stocks subject to the connect in an orderly manner, continuously improve the two-way capital flow mechanism continuously, enhance stock liquidity and accelerate the integration with domestic & foreign capital market.