In　recent　years,　financial　crises　broke　out　frequently　and　showed　contagion,　which　caused　high　attention　from　scholars　both　at　home　and　abroad.　This　paper　selects　the　appropriate　dynamic　conditional　correlation　model　to　study　conditional　correlation　among　the　Eurozone,　the　American,　A-share,　and　the　Hong　Kong　stock　market.　By　using　the　endogenous　multiple　structural　break　model　and　T-test　method,　the　paper　divides　the　contagion　period　and　the　stable　period,　and　uses　CCK　model　which　considers　the　external　influences　to　study　herd　behavior　on　the　A-share　market　and　the　Hong　Kong　stock　market.　And　then,　this　paper　introduces　the　cross-sectional　absolute　deviation　index　of　returns　to　study　the　herd　behavior　channel　during　two　crises.　It　can　be　concluded　that　the　spread　of　two　crises＇　contagion　to　the　Hong　Kong　stock　market　was　faster　than　that　to　the　A-share　market,　and　the　contagion　period　of　the　Hong　Kong　stock　market　lasted　longer　than　that　of　the　A-share　market,　but　the　contagion　extent　of　the　Hong　Kong　stock　market　was　weaker　than　that　of　the　A-share　market.　In　addition,　the　contagion　effect　of　the　subprime　crisis　was　stronger　than　that　of　the　European　debt　crisis,　but　the　contagion　period　of　the　subprime　crisis　lasted　shorter　than　that　of　the　European　debt　crisis.　It　confirms　that　herd　behavior　channel　is　one　of　the　contagion　channel　to　the　A-share　market　and　the　Hong　Kong　stock　market　during　two　crises.　©　2017,　Editorial　Board　of　Journal　of　Systems　Engineering　Society　of　China.　All　right　reserved.