This paper studies the effect of “Shanghai-Hong Kong Stock Connect”, a capital market liberalization policy, on the auditor Independence. Evidence shows that auditors’ propensity to issue going concern audit opinions of underlying stocks are increased after the initiation of “Shanghai-Hong Kong Stock Connect”, which reflects the increase of auditor Independence. Further study with cross-listing in “A+H” and QFII ownership verifies the above effect. This study implies that the liberalization of capital market will increase the auditor Independence, which is beneficial to the audit market regulation, audit quality and development of A-share market. It will also make contributions to the initiation of “Shenzhen-Hong Kong Stock Connect”.