Past evidence show that the impact of cross-listings in foreign markets on the volatility and liquidity of shares in domestic market depends the market transparency (or informational linkage between markets) and the effect of order flow migration from domestic market. Listed companies in Mainland China can issue two different classes of stocks. Before Feb 2001, local A-shares are restricted to domestic investors while foreign B- and H-shares are restricted to foreign investors. Since local A-share market is completely segmented from foreign B-share and H-share markets, this allows us to separate information effect from the order flow migration. Our study uncovers the following findings. First, cross-listings negatively affect stock liquidity as revealed with increased sensitivity of price volatility to volume. Second, only A-shares experience decline in volatility unrelated to volume after cross-listings of foreign shares. Overall, the results suggest that the impacts of cross-listing are not uniformly spread across different classes of investors in the same company.