An analysis of the fluctuations of SMIC share prices during the period of March 18, 2004 through March 27, 2007 was carried out to unveil the statistical characteristics of SMIC stock prices and to propose a dynamic time series model. The time series analysis method was chosen because it is considered appropriate to ensure predication accuracy. The major findings of the present study are listed below: 1. The average of four prices per share, namely open, high, low and close, were HK$1.391852, HK$1.411678, HK$1.369356, and HK$1.392067 individually. The average daily volume was 66 million shares. 2. This time series becomes relatively stable after the first order difference by the augmented Dickey-Fuller test. 3. A simple regression model for estimation of SMIC share price is formulated and proposed: CLOSE=0.0557301332-3.772821602e-005(superscript *)@TREND+1.040018769(superscript *)CLOSE(-1)-0.07105484476(superscript *)CLOSE(-2) 4. The results of the regression model highlight that the share price of SMIC is likely to be affected by the prices over the previous two periods. Investors should take into account the recent movement in the share price of SMIC while making prediction. 5. Investors should be cautious about the effects of industrial circle and the accumulation strategy used by SMIC, and make decisions on whether to buy, sell or hold its shares when facing the gradual decrease in share price. It is believed that the industrial recovery will boost the semiconductor industry and the share price is expected to increase accordingly. In addition, the cost per unit will decline when the asset accumulation approach is used and the profit would be better than expected. 6. The share price of SMIC may be about to reach its peak in April, whereas the big fall in share price tends to be in early March and middle October. If investors prefer to invest in short term, these information could be good reference guides to gain investment profits.