Abstract: Financial risk is ascribed to stochastic walk of returns. We find that the returns of stock markets don‘t follow stochastic walk, so it is imperfect to measure the risk with variance. The paper analyzes the return series of China stock markets and America stock markets with MF- DFA method. We deduce a conclusion that both of the two markets have character of muhifractal. The muhifractal character of China stock markets is more salient than the latter. A quantitative measurement of risk is concluded when we combine the multifractal character with factual risk.