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With the opening of the Stock Connect programs, the mainland China and Hong Kong stock markets are becoming more closely linked. In this paper, we develop a China's stock market risk early warning system. The proposed early warning system consists of three components. First, we use value at risk (VaR) to identify the stock market risk in which stock market risk is divided into multiple categories instead of two categories. Second, we construct a comprehensive indicator system in which basic indicators, technical indicators, overseas return rate indicators, and macroeconomic indicators are considered simultaneously. Third, we use four machine learning models, namely long short-term memory (LSTM), gate recurrent unit (GRU), multilayer perceptron (MLP), and EXtreme Gradient Boosting algorithm (XGBoost), to predict China's stock market risk. Experimental results show that: (1) Considering the macroeconomic indicators and basic indicators of Shanghai Composite Index (SSEC), ShenZhen Component Index (SZCZ) and Hang Seng Index (HSI) can significantly improve the performance of predicting China's stock market risk. (2) The opening of SH-HK Stock Connect program improves the predictive performance, but the opening of SZ-HK Stock Connect program decreases the predictive performance. (3) The indicators related to Hong Kong become more important after the SZ-HK Stock Connect program. [ABSTRACT FROM AUTHOR]