Abstract: Asset price bubble is the deviation of price from the fundamental values. The existence of a bubble changes investors expectations, boosts asset prices and causes investors to underestimate risk, and endangers the stability of market operation. Here, the bubble of Shanghai and Shenzhen stock market was measured, and the impact of bubbles on market risk based on quantile regression model was studied. The results show that market risk is correlated with bubbles; the larger the bubble, the greater the risk, and the greater its impacts on long-term risk than on short-term risk. Both short-term bubble and long-term bubble affect market risk: while in the short term, a bubble boosts asset prices and reduces risk; while in the long term, the probability of a bubbles collapse increases, thus increasing market risk.