Many recent researches with empirical data have demonstrated that financial data have multifractal prop2 erties , but seldomwith Chinese financial data. In this paper we study the Shanghai Stock Exchange Composite Index (SSECI) and find that return volatility correlations are power2laws with a non-unique scaling exponent . The result is quite similar to other researcher’s findings. Since multifractal models for financial market can provide us much in2 formation about volatility , we suppose the associated research between multifractal and risk management would be significative.