Using a new statistical procedure suitable to test efficient market hypothesis in presence of volatility clustering, we find significant evidence against the weak form of efficient market hypothesis for both Shanghai and Shenzhen stock markets, although they have become more efficient at the later stage. We also find that Share A markets are more efficient than Share B markets, but there is no clear evidence on which stock market, Shanghai or Shenzhen, is more efficient. These findings are robust to volatility clustering, a key feature of high-frequency financial time series. They have important implications on predictability of stock returns and on efficacy of capital asset pricing and allocation in Chinese economy.