Domestic A-shares and foreign B-shares listed in Chinese exchanges have the same ownership rights and dividends, yet A-shares are much more volatile than B-shares. We estimate a dynamic model under a modified mixture of distribution hypothesis (MMDH) assuming the contemporaneous dependence of stock returns and trading volume on an underlying mixing variable representing unobserved intensity of information arrival. We assume that the mixing variable follows a stochastic autoregressive process, and estimate a set of parameters characterizing the distribution of the latent information variable for 24 companies and value-weighted A- and B-share portfolios using Generalized Method of Moments (GMM). We find that (1) news enters the A-share market more intensively than the B-share market; (2) news is more highly correlated with trading for A-shares than for B-shares; and (3) news is more persistent for A-shares than for B-shares. Our econometric results also indicate that cross-section variation in volatility-related expected intensity of information flows and the amount of informed trading are related to information correlates, namely number of investors, variation in profits, and firm size. Our findings suggest that the MMDH provides useful insights into the underlying causes of A- and B-share volatility behavior in Chinese stock markets.