Mean and variance of daily type A and B stock returns in Shanghai and Shenzhen exchanges are studied before and after these stocks were subject to a ±. 10% daily return limit, and when investors' clientele were segmented, vs. merged. We find that imposing the ±. 10% return limit significantly reduced the variance of type A stocks, but increased the variance of type B stocks. This puzzle appears to be related to different liquidity effects. Merging clienteles across stock types reduced their risk, increased mean return, and improved efficiency. Returns were generated primarily at the opening (type A) or trading day (type B) before the clienteles merged, but in a mixed format thereafter.