Based on Quantile Regression Model(M), this paper focus on the differences in state-owned shares influence on companies with different performance. Our conclusion indicate that state—owned shares have a negative effect on companies performance and the effect is significantly different for companies with different performance, that is to say, the better performance the company has，the worse do state-owned shares influences the company’s performance. As a result, considering the limitation of the market’s capacity, shares of good performance companies should be arrange to circulate priory in the second stage of shareholder structure reform , which can improve the whole efficiency in market. The empirical results also find that there is economic effect of scale in China stock markets．

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