This paper analyzes the auto and cross correlations of Hong Kong, Shanghai and Shenzhen stock markets. Based on some econometric techniques, the Granger causality on the cross correlation and co movement of the three stock markets is explored. The results show that there are strong auto correlation, long memory and persistence for the volatility of each of the three stock markets. Hong Kong stock market has little influence on Shanghai and Shenzhen stock markets. Shenzhen stock market has strong Granger causality on Shanghai stock market．but the reversal does not exist．