Based on the analysis of stock market， yield of the mainland China, Hong Kong and America, this paper uses POT model to measure the market risk of each stock market of the three, derives the following conclusions: (1) the three stock markets on the return distribution have a certain generality, but the high yield of the stock market of China is established on the basis of high risk, the possibility of extreme return exists in the Hong Kong stock market, the volatility of the U.S. stock market yield is small; (2) the expected loss of the mainland China is largest, the expected loss of the holding U.S. stocks is minimum, so the economic subject in China should make joint efforts to avoid market risks.