Abstract: This paper studies the asymmetric problem of information transmission about the A and Hshares cross-listing stocks.We take an empirical test by the Granger causality test and dynamic conditional correlation bivariate GARCH model with the daily closing price datum of H-share index and H-shares plate index from the January 2003 to the April 2009,considering the return and volatility as the representative variables of the flow of information.The results show that the return information is transmitted from the H-shares market to H-shares plate marketin one way,while volatility information is mainly from H-shares plate market to H-shares market.From the results,we can see that,the transmission of information is of asymmetry,and they are respectively in line with "international center" and "home bias" hypothesis.Furthermore,the conditional correlation of the two markets changes dynamically with an upward trend after introducing qualified Hongkong institutional investors.

Key words: H-shares, H-shares plate, DCC-BV-GARCH, information transmission, asymmetric effect