Multi-fractal detrended fluctuation analysis method was used to research empirical the multi-fractal characteristics of three main stock markets empirically. It is found that all these stock markets show multifractal characteristics. The multifractal characteristic and risk of Shanghai stock market are the strongest and that of NASDAQ Stock Market is weaker than that of Hong Kong stock market. These indicate that a single scaling exponent would be unable to capture the complex dynamics inherent in the data. In addition, the stock price index variation of Shanghai stock market presents the most intensive fluctuation among the three stock markets. This has led to a better understanding of complex stock markets.