Abstract: Data of Typical stocks in Shanghai, Shenzhen, New York, Hang Kong and Singapore Stock Exchanges are selectedin this paper. On the basis of the GARCH- Vol model, the differences in the relationship of transaction volume and volatilitybetween stock market of China and New York, Hong Kong, Singapore are discussed. It is found that the characteristics ofthe transaction volume- volatility in different stock markets are particular, and the complexity of volume- volatility is alsodiscussed in the paper.