Foreign investors has been playing an important role since the government opening to foreign investment in the domestic stock market in 1996. This study explores whether foreign capital has the function of promoting the efficiency of the market. We use high and low foreign shareholding as the research object, and set the foreign shareholding of more than 40% as the high stakes, the foreign shareholding of lower than 10% as the low stakes. We find:(1)Foreign shareholding will not affect the market efficiency. (2)After increase the weighted index comparison, foreign shareholding of high, low has excess returns, and high foreign stakes return is not higher than the return of low foreign stakes, foreign shareholding can’t be regarded as a reference indicator of investment. (3)Foreign shareholding is not equal to the weighted index return volatility. That means, the market failed to reflect the uncertainty of the return on foreign shareholding.