Along with the international trade and economic ties, international stock markets are performing increasingly closely. This paper investigates the volatilities and the return co-movements among three stock markets in mainland China, Hong Kong, and the United States, from January 1, 2007, to July 5, 2019. We use the MIDAS framework to separately characterize short-term and long-term features. The results reveal that different market volatilities have different sensitivities to the same events. After the second half of 2016, the volatility of China’s stock market gradually dropped below that of the other two markets. As for market co-movements, the return correlation between China and Hong Kong rose sharply after 2007. Although the co-movements for return rates among these three stock markets possess mutual dynamic synchronization features, deviations exist occasionally due to the emotional transfer of funds in the international market when a significant economic or financial event occurs. The analysis suggests that countries should stabilize the financial investment environment and guard against hot money activities.