The promulgation of Regulation Fair Disclosure of itself is a kind of information,having impact on the behavior of the securities market participants.Taking advantage of SME board listing of Companies Regulation Fair Disclose Guidelines,adopting the event study method,this paper empirically tested whether it had influenced the stock return of Chinas Shenzhen SME Board.In this paper,the phenomenon of the Guidelines dropping the stock return of the firms in selected sample is found,which suggests the implementation of the regulation results in the negative impact on the security market of SME board of Shenzhen Exchange.Our study explores some evidence for the necessary to further perfection of regulation fair disclosure.