On the basis of analyzing and summarizing the “anomaly phenomena” of Chinese stock market during the period from June 2005 to August 2008, this paper studies the causes of “anomaly phenomena” of Chinese stock market from the perspective of the effect of noise trade on stock market behavior, and puts forward to measurements and suggestions weakening the negative effect of noise trader on the stock market. The research results show that, to a large extent, “anomaly phenomena” of Chinese stock market is caused by the overoptimistic sentiment during stock market rising period and overpessimistic sentiment during stock market falling period of noise traders who play a dominant role in Chinese stock market.