Based on the perspective of accrual anomaly and by empirically testing sample data collected from A share listed companies in Shanghai and Shenzhen stock exchanges from 2011 to 2017 with a DID model, we found that the implementation of the Shanghai Hong Kong stock connect trading mechanism significantly aggravated the accrual anomaly. Further, the conclusion was still robust after correcting self selection bias of samples by using PSM. Nonetheless, our further research suggested that the Shanghai Hong Kong stock connect trading mechanism indeed had a dual effect on the accrual anomaly. On the one hand, it exacerbated the accrual anomaly caused by investment/growth through raising investment level, which was consistent with the “investment/growth” hypothesis. On the other hand, it lowered the level of earning managements and subsequently alleviated the accrual anomaly, which was consistent with the “accounting distortion” hypothesis. However, the latter effect was limited comparing to the former, resulting in an overall aggravating effect on accrual anomaly.