With the China stock market data fromJuly 1997 to December 2000 , and making use of Fama2French re2 gression and dynamic portfolio approach , obvious effects of trading volume , ratio of A2shares to total shares , size , and book to market value ratio etc , are found in China stock market . The effects have close relations , and can’t be explained by the market beta value. But if two other factors , size factor and book2to2market value factor are added , the three2factor model of Fama2French can explain all these effects quite well