This study provides empirical evidence on the value relevance of accounting information in different stock market segments of China. Using the available data of listed A‐, B‐, and H‐shares from 1999 to 2003, and based on the modified Ohlson model, the value relevance of accounting information is compared among different Chinese stock market segments. Further, important factors that might influence the value relevance of accounting information in the Chinese stock market (e.g., the percentage of total tradable shares [PTS] and the B‐share opening event of 2001) are studied in this paper. Four primary results are drawn from this study. First, the accounting information is value‐relevant in all the A‐, B‐, and H‐share markets, and the accounting information in the B‐ and H‐share markets is more value‐relevant than that of the A‐share market. Second, within the A‐share market, the value relevance of accounting information does not differ between firms issuing both AB‐ and AH‐shares and firms issuing only A‐shares. Within the A‐share market, firms with higher PTS do not enjoy higher value‐relevant accounting information than the firms with lower PTS. Last, our results indicate that the opening event of B‐shares to domestic investors in 2001 did indeed lower the value relevance of accounting information for B‐shares.