Existing event extraction methods classify each argument role independently, ignoring the conceptual correlations between different argument roles. In this paper, we propose a Hierarchical Modular Event Argument Extraction (HMEAE) model, to provide effective inductive bias from the concept hierarchy of event argument roles. Specifically, we design a neural module network for each basic unit of the concept hierarchy, and then hierarchically compose relevant unit modules with logical operations into a role-oriented modular network to classify a specific argument role. As many argument roles share the same high-level unit module, their correlation can be utilized to extract specific event arguments better. Experiments on real-world datasets show that HMEAE can effectively leverage useful knowledge from the concept hierarchy and significantly outperform the state-of-the-art baselines. The source code can be obtained from https://github.com/thunlp/HMEAE.