Abstract: The purpose of this article is to analyze the spillover effect on stock return volatility between Original Shares and ADR of 20 Chinese listed companies,so as to know the interaction between Chinese mainland capital market,Hong Kong capital market and American capital market.Imposing GARCH(1,1)-MA(1) model,the results show that H Shares have limited significant bidirectional influence but B Shares have obvious single directional influence in spillover effects on stock return volatility with ADR.We think that possible reasons are the different in markets structure,the exchange rate between dollar and HK dollar and insufficient of market openness.

Key words: original shares, H Shares, ADR, GARCH model, spillover effect