In China, domestic firms can issue A- and B-shares. Before Feb 2001, Domestic investors can only invest A-shares while foreign investors can only trade B-shares. This paper makes use of this special feature in testing information and trading noise hypotheses. We find that A-share prices are more volatile than B-share prices even though they are issued by the same companies and are traded in the same stock market. We further find that A-share prices are much more volatile only during the daytime (trading) period while it is less volatile for A-share prices than B-shares prices during the overnight (nontrading) period in China. Since individual investors dominate A-share markets while foreign institutional investors dominate B-share markets, the results are consistent with the conjecture that the higher volatility of A-shares is attributed to the noise trading by domestic investors.