Abstract: The interrelation between the A and B share markets in China since B share market's initial opening to Chinese citizens are studied.It makes an empirical analysis using the Shanghai A share Index and the Shanghai B share Index.The empirical analysis mainly includes establishing the VAR model through the ADF stability examination,and conducting the impulse response test based on the VAR model.Then the paper concludes that the segmentation of A and B share markets in China has not been improved significantly and the interrelationship between the two has not been reinforced obviously.The paper finally analyzes the reasons and accordingly suggests such countermeasures as eliminating the internal barriers,improving the external environment and making rational investors.

Key words: A share market, B share market, segmentation, interaction, VAR model, impulse response