This is a paper on the application of the methods to estimate the Hurst Exponent of Hang Seng Index, Hang Seng China Enterprise Index and Shanghai Composite Index. The methods employed are the Rescaled Range Analysis (Hurst, 1951) and the Geometric Method-based Analysis (Trinidad Segovia, Fernandez-Martinez, Sanchez-Granero, 2012).The question aroused from this research is that there are some cases that the Hurst exponent estimated is out of the theoretical range or with very high value. From a theoretical ground and the practical application of Hang Seng Index, Hang Seng China Enterprise Index and Shanghai Composite Index, a method is espoused to improve the estimation of the Hurst exponent for Rescaled Range Analysis and Geometric Method-based Analysis.