Investors in Chinese stock markets tend to follow the crowd, buying more when prices are rising and selling when they are falling. This behavior is more pronounced in Shanghai, Shenzhen, and Hong Kong markets, but not in the Hong Kong Red chip market. Stock returns show a pattern of positive autocorrelation at low volatility and negative autocorrelation at high volatility levels. This is due to differences in investors' risk aversion and market segmentation in China. Deregulation of the B-share market has changed the return autocorrelation pattern. These findings are important for portfolio managers and policymakers.