This paper researches the banking market structure and competition status in China's financial industry based on Panzar-Rosse model from 2000 to 2007 by using the H statistics method. The H value tested is between 0.147 49 and 0.895 82.It shows that China's banking sector is still in monopolistic competition state and the transition from monopoly to moderate competition, and the banking industry needs more competition policy in order to ensure proper competition in China's financial market and promote its development.