The purpose of this study is to investigate a causal relationship among five different indices of shares issued by Chinese firms, A-, B- and H-shares listed in China and Hong Kong. This paper re-examines the interactions among these China-related stocks using daily time series data by constructing a vector autoregresion (VAR) model. A new Granger no-causality testing procedure developed by Toda and Yamamoto (1995) was applied to test the causality link among these five stock indices. The results emerging from our research indicate that there are "closed" relations within A-share (as well as within B-share) between Shanghai and Shenzhen markets and by contrast there is no any significant relations between A- and B-share within each market over the same period. These results suggest that Chinese A- and B-share remain separate and generally speaking Chinese market is not efficient. The evidence of unilateral Granger causality running from Hong Kong H-shares to B-shares in Shanghai also suggest that Hong Kong traders have better information than these foreign institutional investors in Shanghai B-share markets.