By using the panel threshold model, this paper finds that the foreign shareholders play a certain “regulator” role in Chinese stock market, namely foreign shareholders can increase their shareholding amount to reduce the volatility when stock prices are seriously fluctuating and can increase their shareholding amount to activate the market when stock exchange is not active, specifically, foreign shareholders can reduce stock price volatility, share earnings rate risk and system risk when foreign shareholders buy the shares of the listed companies with relatively high price earning ratio and asset-liability ratio, with relatively small holding of funds and with big volatility, otherwise, their risk is increased. Therefore, China should introduce the listed companies with high market earnings rate and liabilities rate and with big share price volatility to foreign shareholders to strategically hold the shares of the companies so that their “regulator” role can be sufficiently played.