Based on Markov regime-switching model，the paper investigates the impact of interest rate adjust-ment on the volatility of China’s stock market with different regimes，especially when the volatility regimes of Shanghai Composite Index were classified into two states from 2014 ～ 2015: the falling and the rising． Consid-ering the regime switching and leverage effect of volatility in the stock market，Markov ＲS-EGAＲCH model is used to model the return and volatility of Shanghai Composite Index． The result shows that the shock of good news has the same effect on the volatility of Shanghai Composite Index as the bad news in the rising state; the shock of bad news has a larger impact on the volatility of Shanghai Composite Index than the good news in the falling state，which is different from the usual leverage effect． Then，the impact of the interest rate adjustment after 2012 on the volatility of Shanghai Composite Index has been examined by introducing the a dummy varia-ble into the mean and volatility equation of the ＲS-EGAＲCH model． The conclusion shows that the interest rate cut has resulted in the increase of return and volatility of Shanghai Composite Index in the rising state， and the decrease of the return in the falling state． On the contrary，the interest rate adjustment in 2006 has no significant effect on the volatility of Shanghai Composite Index in both the two states．