By the end of 2010, there are 85 firms are listed in both China's A- and B-share stock markets. With the identical issuing companies, trading rules, voting rights and dividends policies, B shares have been selling at a discount relative to A-share counterparts, which is considered as a puzzle over years. This thesis characterizes three major factors responsible to the price differences between A- and B-share markets: market friction, greater fool factor, and Hurst exponent (market efficiency) factor. More specifically, the results show that in Chinese stock markets institutional investors help to stabilize the stock prices; the results also indicate that time series standard Brownian motion are not responsible for the price differences.