Abstract: With the time-varying characteristic of market fluctuations taken into account, the correlation between the A share market and B share market in both Shanghai and Shenzhen Stock Exchanges was discussed by wavelet analysis, i.e., the multi-scale change in wavelet function was introduced to correspond with the holding period of the shares purchased, then the correlation coefficient between the A and B shares is decomposed on multi-scale. The empirical result showed that price fluctuations of B shares is obviously higher than that of A shares, and the wavelet variance and share price fluctuations gradually decrease with the increasing time scale. Besides, the correlative uniformity between the Shanghai and Shenzhen Stock Exchanges, both are for buying/selling A and B shares, is higher than that between A share market and B share market. The wavelet analysis was thus proved able to investigate effectively the correlative time-varying characteristics of two share markets in China and their segmentability from the perspective of correlation.