In recent years，financial crisis broke out frequently，causing traditional market theory，such as ef-ficient markets hypothesis and behavioral finance，to fail to give reasonable explanations in the face of a com-plex real financial world． Lo’s adaptive markets hypothesis bridged the differences between these two schools，and gradually attracts the attention of the academic circles． Through an empirical study，this paper tries to ex-plore whether adaptive markets hypothesis can explain China’s capital markets from three perspectives:dy-namic market efficiency，time-varying risk beta，and technical trading strategies evolving，respectively． The research finds that the efficiency of Chinese stock markets changes dynamically，and that the inefficiency time intervals can be associated with major exogenous events such as finance crisis and policy changes． It also finds that the beta of stock markets style index changes with market conditions，and that the performance of techni-cal trading strategies evolves with traders’adaptive property to the change of the environment． The research results show that adaptive markets hypothesis can explain better the above-mentioned phenomena in China’s capital markets than both efficient market hypothesis and the classical CAPM model． Finally，some suggestions are given on how investors can develop adaptive investment strategy based on changing market conditions．