The anomalies in capital market and many demonstration researches have indicated that efficient markets hypothesis (EMH) and modern capital market theory system based on the hypothesis often conflict with the facts from real markets. In this paper , some non2linearity theories , such as fractal theory , chaos theory , catastrophe theory , behavior finance theory , coherent market hypothesis , have been introduced , and the status in quo of these studies and their applications in capital market have been summarized. The prospects and main problems of non2linearity theory existing in present capital market researches and applications have been pointed out