The main purpose of the paper is to conduct a study of CAPM in China’s Stock markets. Stocks data and combined data of Shanghai Stock Exchange were selected as research subjects in this paper. Empirical analysis of these data has been carried out by way of t-statistics and joint test to verify whether CAPM model would be true of China’s stock market. Conclusion was reached that CAPM model is essential in China's stock market. Thus, CAPM model can be applied in empirical analysis and theoretical study on the market as to promote the development of China's stock market.