Based on the daily, weekly, and monthly market data of Shanghai A shares, this study uses statistical methods to carry on the data mining research, in order to learn the influence of different horizon, time scale, and stock industry on the distribution of stock returns. From single stock section, it performs the test of normality for the density distribution of price yield and analyzes the relationship between its distribution characteristics, and the circulation market value, the industry category of the stock and the time scale (day, week, and month) respectively. From the unit time section, the study analyzes the relevant statistical characteristics of the mean and volatility of the yield of the stock portfolio. The results show that the variance of the mean of the yield of the stock portfolio is much larger than that of the single stock section because the correlation between the stocks is much larger than the correlation between the time. In addition, the volatility of the stock set also has long-term memory characteristics.