we study the interday retum（IR） behavior by using Shanghai stock index 5-min HF data. We conclude that opening trading mechanism mainly change the peak＇s position of IR volatility after comparing the previous results. A hump-shape pattem of IR volatility is found in the aftemoon trading section as in Hong Kong. We consider that is caused by continuous opening trading mechanism, and give some explanations about the IR variance from the view of correlations between different intervals. Furthermore, we document a negative linear relationship between IR variance and the first-order autocovariance, which we explain by using Black（1986） ＇s model