Based on the capital market background of relative concentration of equity structure， by using the data of listed companies in Shanghai Stock Exchange and Shenzhen Stock Exchange during 2007 to 2010，this paper analyzes the relationship of the separation of cash flow right from control of ultimate controller in China’s listed company and stock return volatility，and examines the influence of value invasion of ultimate controllers on outside market investors from the perspective of information asymmetry. The research finds that the bigger the two rights of ultimate controllers separate，the stronger stock return volatility is，which indicates that the invading behavior of ultimate controllers may lead to the increase of information asymmetry between enterprises and market investors，increasing the risk of outside investors，meanwhile，relative to state-owned listed companies and the companies which have low equity concentration，there is more obvious relation between stock return volatility and the extent of the two right separation of ultimate controllers for private listed companies and the listed companies which have high equity concentration，which reveals that there is big difference of invading mode and invading capacity between the ultimate controllers of the companies with different ownership or with different equity concentration. Thus，China should consolidate and perfect the regulation on the invasion of big shareholders to effectively improve capital market efficiency.