Abstract: Based on the nonlinear co-integration theory,were deduce the information share model proposed by Hasbrouck(1995) again,and capitalize it on measure the information share of A share market and H share market on the price discovery process.And then we analyze the cross-sectional characteristics of the companies.price discovery ability and their influencing factors.Empirical tests show that(1) prices of A share and H share stocks are different from each other,but they are nonlinear or nonlinear co2integrated and mutually adjusting.Averagely,A share market makes more contributions to the price discovery; (2) stocks.contributions to the price discovery among the companies are different;(3) liquidity,stability of market,and the information asymmetries to various extends affect the A and H stocks.contmbutions to the price discovery.

Key words: cross-listing, nonlinear co-integration, information share, price discovery