Before Chinese reform and opening up，it was unimaginable to build our socialist security market. Over the past three decades，Shenzhen Special Economic Zone has overcome various difficulties and setbacks，broken the limitation of economic system，philosophy and geography，and finally accomplished our goal. Especially，on Dec. 1st，1990，Shenzhen Security Exchange came into being and its boosting bell sounded the prelude of Chinese enterprises reform of property rights. Today，Chinese securities market，leaded by Shenzhen Security Exchange and Shanghai Security Exchange，has become one of the major stock markets in Asia and one of the most dynamic stock markets with greatest potential in the world. Our experience tells us，to establish and develop securities market in China，we must have great courage to break through restricted areas of traditional concepts and theories，and innovative spirit of seeking truth from the facts based on Chinese characteristics and reality.

With the process of reforming and opening up，in Shenzhen Special Economic Zone，the Shenzhen securities market is moving on constantly in the process of development and standardization，and has received remarkable achievements. Up to December 31st，2009，there had been 830 companies listed on the Shenzhen Stock Exchange，whose total market value had been 5.93 trillion yuan；The number of members had come to 114；There had been more than 85.67 million investors；The market turnover had increased from 3.6 billion in 1991 to 18.94 trillion yuan；The total fund raised by listed companies in Shenzhen market had been more than 750 billion yuan. There have been 17 securities companies headquartered in Shenzhen，with total assets of about 480 billion yuan，accounting for nearly 30% of the whole country. There have been 60 securities investment fund management companies in China，while 17 registered in Shenzhen. A large number of companies listing in the main board，the small and medium-sized enterprise board and the Growth Enterprise board are not only the “leaders” which developing rapidly，with excellent asset quality，and staying on top of the industry，but also the “pioneers” of Chinese modern enterprise system reform.

In this paper，we did textual research based on formation and development background of Shenzhen securities Market，in order to clarify vital importance of the guiding ideology，theoretical innovation，philosophy update，system innovation and scientific management during the process of establishing our capital market.