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Based on regime switching mixed Copula model, this paper finds the tail dependence between Shanghai, Shenzhen and Hongkong, Taiwan stock markets is a dynamic asymmetric process. In the state of low risk, right tail dependence is higher than left tail dependence; in the state of high risk, the situation is opposite. The tail dependence between Shanghai, Shenzhen and Hongkong stock markets is much stronger and more sensitive to exterior shocks than that between Shanghai, Shenzhen and Taiwan stock markets. The tail dependence between Shenzhen and Hongkong, Taiwan stock markets is more sensitive to exterior shocks than that between Shanghai and Hongkong, Taiwan stock markets. Tail dependence shows Chinese stock market risk increases significantly in the crisis and financial contagion happens. Furthermore, the tail dependence shows two big simultaneous structure changes correspond to the first and second stages of the crisis, which means the stock market risk is systematic. However, the third stage of the crisis almost has no influence on Chinese stock markets. [ABSTRACT FROM AUTHOR]