Owing to the more and more opening communication on cross-strait relations, the China Concept stock of Taiwan has become one of very hot issues in stock market recently. From the references of relationship among different stock index on cross-strait stock markets, very few of them discussed about the issues of intensity using number of significant periods in fixed lag period length or extracting the China Concept stock from the TAIEX index. Hence, in this paper, three stock indexes (TAIEX index, China Concept stock index and TAIEX index excluding China Concept stock), by fixed lag 6 period length to do the research on cross-strait stock markets for understanding the relationship intensity and as investment reference. From the results, it was found that (1) TAIEX significantly take the leading of SHBI and SZBI, and had a significant feedback interaction with SZCI, but no causal relationship with SHCI. (2) China Concept stock index have a strongly significant feedback interaction with SHBI, SZBI and SZCI; (3) TAIEX excluding China Concept stock have no causal relationship with SHBI, however, it weakly take the leading of SZBI and feedback interaction with SZCI. Accordingly, we could find out that China Concept stock indeed play a very important role on cross-strait stock markets and eventually, it becomes a communication bridge for both side financial markets.
