Abstract: According to the high frequency closing stock index in Shanghai and Shenzhen during the past seven years,we study the probability distr ibutions and the accumulative distributions of returns over the six different time scales.We find that both distributions for time scale of 1min in Shanghai are consistent with a power lawasymptotic behavior,char acterized by exponents 2.86 and 2.31.We also find that the time evolution of returns is well described by the Lévy stable distribution with Lvy exponents 1.26(in Shanghai)and 1.74(in Shenzhen)respectively.

Key words: econophysics, chinese stock index, probability distribution, Lé, vy distribution