The paper makes an empirical study on the integration between the Chinese and the global stock markets during the subprime crisis and European debt crisis by ICAPM and GARCHconditional Copula function.The study also investigates the different impact on market integration between the subprime crisis and European debt crisis. The results show that: (1) The global, local and currency risks were priced significantly in ICAPM, suggesting the Chinese and global stock markets were integrated partly. Meanwhile the degree of integration were changing during the whole sample period. The global market risk made the larger effect on the return rate of domestic market during the European debt crisis,comparing to the sample of subprime crisis.(2) The timevarying correlation between the Chinese and global stock market index captured by the copula function indicated that the two markets were increasingly integrated,especially during the European debt crisis. However,the lower correlation in lefttail between Chinese and global markets indicated that the impact of subprime crisis on domestic market were not so intensive as thought before.