基于有效市场假说(Efficient Market Hypothesis)的CAPM是现代资本市场理论的核心,而建立在股价变动的独立性、正态性或有限方差假设基础上的有效市场假说正面临着实证检验和新的理论——分形市场假说(Fractal Market Hypothesis)的挑战。本文首先检验了上海股票市场收益率的分布形式,发现其并不符合正态分布的假设,因此对现有资本市场理论在中国的应用提出了疑问。同时,本文应用分形理论的研究方法对上海股票市场进行了R/S分析,确定了Hurst指数,实证结果表明上海股市符合分形市场假说。我们认为,以散户为主的投资者结构是解释我国分形市场存在的主要原因。 Based on the Efficient Market Hypothesis, CAPM is the core of modern capital market theory. However, the effective market hypothesis based on the independence, normality or limited variance assumption of stock price changes is facing the positive test and a new theory - Fractal Market Hypothesis challenge. This paper first examines the distribution patterns of Shanghai stock market returns and finds that it does not fit the hypothesis of normal distribution. Therefore, it questions the application of the existing capital market theory in China. At the same time, this paper applies the research method of fractal theory to R / S analysis of Shanghai stock market and determines the Hurst index. Empirical results show that the Shanghai stock market conforms to the fractal market hypothesis. In our opinion, the retail-dominated investor structure is the main reason to explain the existence of fractal markets in our country.