The beta coefficient is one of the most active problems in the research of CAPM (capital asset pricing model) theory.The betas were disentangled under a new theoretical framework and the betas of Shanghai stock market were discussed by use of the method of quadratic covariance.Then,the systematic diffusive and jump risks were estimated by nonparametric consistent estimators.After the empirical analysis of new procedures for thirty individual stocks,it is found that the estimated monthly diffusive betas with respect to the Shanghai composite index (SCI) differ significantly from the jump betas for the sampled stocks and the diffusive betas in this market are numerically greater than the jump betas.