This paper analyzes the price and volatility linkages of China’s stock markets with those of Hong Kong, Taiwan and the United States. In particular, we investigate the direction of information flow among the A-share and B-share stock markets of the Shanghai and Shenzhen Stock Exchanges as well as the Hong Kong H-share and Red-Chip markets. Two methods are employed. The first approach relies on directed graph theory, the Bernanke-Sims decomposition and the impulse response analysis. The second approach involves estimating the multivariate GARCH models of several market returns. By using the daily data from January 5, 2000 to May 30, 2003, we conclude that the China’s stock markets have a weak linkage with the Hong Kong, Taiwan and US markets. As for the four domestic markets, spillover in the mean returns goes unidirectionally from the A-share market to the B-share market but spillover in volatility is bidirectional. Furthermore, the Shanghai stock market appears to dominate the Shenzhen stock market.