After the subprime mortgage crisis, many overseas scholars believe that shadow banks have a great impact on the stock market. therefore, what is the relationship between China's shadow bank and A-share market? This paper proved Granger causality test of shadow banking system and A-share market, and found that there is structured change of time-frequency dimension for those two variables by residual bootstrap window scroll analysis. Then, wavelet analysis is used to further improve the bootstrap analysis, there is positive correlation, which reflect two periods from 2003 to 2008 and from 2008 to 2011 between shadow banking system and A-share market. Also, there is leading each other' s situation between two variables, which indicates that the cost of capital determines its profit-driven, and the relationship between them is more short-term, and long-term becomes weakened. Under the big background of global tight liquidity, China should conduct marginal easing of monetary policy to hedge financial pressure and risk, and should implement macro-prudence management on shadow banks to effectively prevent financial risk while prospering the economy.