<p>Capital market liberalization provides foreign investors with greater access to direct investment in mainland China’s stock market. This study uses the expansion of the Shanghai–Hong Kong Stock Connect as a quasi-natural experiment. The sample consists of A-share listed companies on the Shanghai Stock Exchange from the first quarter of 2021 to the first quarter of 2024. Employing a difference-in-difference (DID) model, we examine the impact of the expansion on stock price crash risk among small- and medium-cap stocks in the A-share market. Empirical results show that the Shanghai–Hong Kong Stock Connect expansion significantly increases the stock price crash risk of these stocks. Mechanism analysis reveals that the policy elevates crash risk by aggravating managerial short-termism, reducing information transparency, and weakening corporate governance. Furthermore, we find that this effect is more pronounced in non-state-owned enterprises, firms facing high financing constraints, companies with low free-float market capitalization, and high-tech enterprises. This study offers a new perspective on the relationship between stock connect expansions and stock price crash risk and provides policy insights for improving the Shanghai–Hong Kong Stock Connect and similar market access mechanisms in the future.</p>