中文摘要：

本文以＂A＋H＂交叉上市公司为研究对象,对A股、H股股票的＂收益率波动性比率之谜＂进行了研究和探讨,对两地市场是否存在＂收益率波动性比率之谜＂,两地市场各自收益率波动的日内分时特征以及各自的影响因素进行了分析。研究发现,信息因素是解释两地市场存在＂收益率波动性比率之谜＂的共同因素,交易时间以及信息不对称是两地市场收益率波动日内分时特征存在差异的主要原因。

英文摘要：

In this paper,employing ＂A＋H＂ cross-listings as a sample chosen,we study the ＂volatility ratio puzzle＂ of A and H stocks to answer the questions： whether volatility ratio puzzle exists in the two markets,the characteristics of the stock returns＇ intra-day behavior and their influencing factors.We find that information is the same factor that explain the volatility ratio puzzle existing in the two markets,trading time and information asymmetries are the main effect factors for the difference of the stock returns＇ intra-day behavior in the two markets.