Abstract: This paper studies the binary static and time-varying correlations of stock returns between the two companies listed on the mainland stock exchanges and among the four companies listed on the Hong Kong Stock Exchange.The results show that the static and time-varying correlations of earnings volatility between the two companies in the mainland markets are both lower than the binary relevance of the other four companies.And the time-varying correlation of the two companies in the mainland markets is more unstable than the other four companies.By multivariate conditional and unconditional correlation analysis, we find out that the correlation of stock returns' volatility among the mainland stock exchanges and the Hong Kong stock exchange in sports industry is very low.And there is almost not exists mutual volatility transmission mechanism.