In order to study the application of the Capital Asset Pricing Model in China stock market, the thesis regards the Shanghai Stock Market as the research object. Firstly, a list of A shares was selected, that means 640 stocks in Shanghai Stock Market as the sample was listed before December 31st in 2002 and in the situation of normal trading. Then, the data of monthly yield were filtered out by ex-dividend processing, which dates from January 1st in 2003 to December 31st in 2012. Afterwards, by using time series and cross-sectional test methods, the relationship between monthly return and beta of A shares in Shanghai Stock Market was tested. Furthermore, risk structure was analyzed. Finally, both the time series inspection and the cross-sectional inspection draw the conclusion that the CAPM is not effective in Shanghai Stock Market.