The purpose of this study s to focus on market integration，promote the interconnection of markets in Guangdong，Hong Kong and Macao，acceleration efficient and convenient flow of factors，So as to vigorously promote the construction of Guangdong Hong Kong Macao Great Bay area. In order to ensure the scientificity，foresight and practicability of the research，this study has collected a large number of development planning，policy documents，theoretical articles and other materials，combining theory with practice，international and domestic，and reference with practice. Through analysis and research，the author believes that improving the level of market integration and promoting the convenient and efficient flow of resource elements is one of the important contents of the framework agreement on deepening cooperation between Guangdong，Hong Kong and Macao and promoting the construction of the Great Bay area and the outline of the development plan of the great Bay area of Guangdong，Hong Kong and Macao. It is an important starting point for the construction of the Great Bay area of Guangdong，Hong Kong and Macao. It is suggested to give full play to the respective advantages of Guangdong，Hong Kong and Macao，from the perspective of market rules Promote connectivity，improve market integration and jointly build a world-class Bay area and a world-class urban agglomeration in five aspects：factor market，financial market，consumer market and service market.