This　paper　explores　the　cointegration　and　causality　relationships　among　the　markets　of　Shanghai　A　shares,　Shanghai　B　shares,　Shenzhen　A　shares　and　Shenzhen　B　shares　during　February　9,　1998,　to　February　16,　2001.　Using　unit　root　and　cointegration　techniques,　we　find　that　there　exists　cointegration　in　A　share　markets　of　Shanghai　and　Shenzhen　exchange.　So　do　B　share　markets.　But　there　is　not　cointegration　between　Shanghai　A　(B)　market　and　Shenzhen　B　(A)　share　market.　Granger　causality　tests　confirm　that　stock　price　indexes　of　A　(B)　share　markets　between　Shanghai　and　Shenzhen　are　feedback.　Stock　index　of　Shanghai　A　share　market　leads　both　B　share　indexes　of　Shanghai　and　Shenzhen.　And　Shenzhen　A　share　index　leads　Shenzhen　B　share　index,　while　it　is　of　no　causality　relationship　with　Shanghai　B　share　market.