Using Co-integration Analysis to examine the long term equilibrium relationship between SSE Composite index and the portfolio indexes of the mixed-dividends group, cash-dividends group and none-dividend group, simultaneously, using Error Correction Model to examine the speed of dynamic adjustment of three types of indexes from the short-run divergence to the long-term equilibrium, the results show that the index of mixed-dividend portfolio possessing market preference has the weakest long-term equilibrium relationship with SSE Composite index, which causes the longest time adjusting to equilibrium; however the cash dividend portfolio not possessing market preference has the strongest long-term equilibrium relationship with SSE Composite index, which causes the shortest time adjusting to equilibrium; the none-dividend portfolio without market preference is in the situation between the portfolios of mixed and cash dividends.