This paper examines the asymmetry problems of Shanghai and Hongkong stock markets with EGARCH-GED model and divides the volatility cycles by use of BB law. We find out that the return distribution of the SHCI is negatively skewed, but that of the HSI is positively skewed. The empirical results show that whether in Shanghai or Hong Kong, bad news has greater impact on market activities than good news in the bear market. But in the bull market, there is "leverage" effect in Hong Kong and there is "anti-leverage" effect in Shanghai. The differences arise mainly because of the lack of shortselling mechanism in the Shanghai securities market, which affects the absorbing of price to bad news and explains the drastic rising and slumping in the mainland stock markets.