The non-linear characters were empirically studied with Hurst index and R/S analysis on the basis of the return data of month,week and days in Shanghai stock market.Their Hurst exponent,correlation coefficient,fractal dimension and non-periodic cycle were given by analyzing hierarchically from high frequency data to low frequency ones respectively.Further,the different frequency data from Shanghai stock market were comparatively analyzed,and its exact non-linear characters were obtained.The empirical results indicated that Shanghai stock market an efficient market,but is a non-linear capital one.