Differing from the standpoint of classical finance theory, investors is non-rational in security market in China. They have obvious non-rational characteristics, such as overconfidence, herd behavior, disposition effect and policy dependence. Because non-rational investors have intensification effect and risk-dispersed effect, under some market condition, they may lead to stock spillover or discount when their forecast error on stock expected return is less than certain bound, but when their forecast error goes beyond the certain bound, they will impulse undulation of stock price.