Provided that the investors have different information processing abilities in segmented markets，we build a two-stage model which includes heterogeneous beliefs of investors，prove that heterogeneous beliefs and short sale restriction is one of the reasons which result in lower H-share price than A-share price，and empirically analyze the models using data from A-share market and H-share market． To some extent，our model theoretically explains the anomalies of China’s segmented capital markets and is helpful to recognize the microstructure and market characteristics of emerging China capital markets