Abstract: In this paper,the successive rises and falls of Shanghai stock index returns are analyzed by survival analysis and change point theory. The distributions of the successive rises and falls of returns are fitted with Gamma distribution. It shows the stock market has the memory and does not follow the random walk hypothesis. The parameters change when the stock market changes,and the two parameters properly reflect the changes of bull and bear markets,also the fluctuations of the market.With the change point theory,we analyze the change of the stock market,and draw some meaningful conclusions.

Key words: survival analysis, gamma distribution, change point theory