Taking the key audit items first disclosed in the auditing reports of A+H-share listed companies in 2016 as the research object, this paper compares the reaction difference of investors to key audit items between A-share (mainland) and H-share (Hong Kong,China) capital markets by event study method. The results show that A-share market reacts significantly to key audit matters, while H-share market has no noticeable reaction. Further research finds that there are significant differences between A-share and H-share markets in reaction to key audit items disclosed by the international Big4 and that not by Big4 and both markets are more active to Big4. In addition, the audit market share of PwC Zhongtian is the largest among Big4. The market reaction of investors in A-share and H-share markets to key audit issues issued by PwC Zhongtian is also significantly higher than that of other three international companies.