Multifractal analysis of Shenzhen ingredient index was carried out. Multifractal rescaled range analysis was applied to study the stock market in Shenzhen empirically. It is found that the time series of the stock return show persistent property in different time scales and the larger the time scale, the larger Hurst Exponent. It is seen that there is two crossovers around the time scales, indicating a phase transition under different scales in function H(τ). The method of multiaffine identified the existence of the multifractal characteristics was identified in the method of multiaffine and the essence of price dynamics of stock price index  was analyzed under different scales.