This paper empirically compares ES with VaR from aspects of convexity, subadditivity and validity on condition of normal distribution and non-normal stable distribution on China Stock Market, and finds: ES satisfies convexity and subadditivity but VaR do not on condition of non-normal stable distribution, and both of them satisfy convexity and subadditivity on condition of normal distribution; whether on condition of normal distribution or non-normal stable distribution, ES is more effective than VaR, and the problem of underestimating risk of VaR is more serious on condition of non-normal stable distribution. Because the distribution of rate of return on China Stock Market is non-normal stable, ES is a better risk measurement than VaR on China Stock Market.