This article studies the co-movement of the levels, as well as of the volatilities, of the Chinese and U.S. aggregate stock returns in 1995–2014, focusing on the impact of the liberalization of Chinese stock market from 2005. The volatilities of the two returns appear to have started to co-move in 2006. To understand the co-movement, we use the GARCH BEKK method. The result suggests that before 2006, the evolution of the U.S. returns had a tendency to affect the Chinese returns in level and volatility. However, after 2006, the two returns affected each other in a more complex way.