This paper leads ARCH models into the study of fluctuations of stock returns in real estate listed companies and industry in China. We conclude that: fluctuations in the early returns of real estate listed companies’ impact on the future show gradually decline trend; the fluctuations leading by Good news will be greater than that of the same degree of bad news; There is no significant correlation between expected benefits and expected risks in most of the real estate listed companies. It can be judged that benefits and risks in real estate listed companies don’t have the properties of mature markets. At last, we propose countermeasures about how to improve the real estate market and the stock market.