The birth of the random walk theory and the support of many empirical tests prove that the stock price is not a conclusion. But this is not the ultimate goal of securities investment theory. In the past ten years, the predictability of stock price trend has made a breakthrough in both theory and practice. According to the theory of mean reversion, in the long run, the stock returns show the mean reversion, that is, the long-run returns are negatively correlated. The auto correlation test and variance ratio of non parameter persistence method used in this paper, the Shanghai and Shenzhen stock market A, B-share market index four month rate of return for empirical test, found that the Shanghai Composite Index has significant mean reversion characteristics.

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