The West Midlands outfit suffered six successive defeats earlier in 2017, but Lambert has changed his team's fortunes of late with five victories and a draw.
The form has led to Wolves moving 11 points clear of the relegation zone, and Shi has suggested that Lambert is currently in position to keep his role at Molineux, despite reports suggesting that Oscar Garcia and Paulo Sousa could be in the frame to replace him.
Shi told the club's official website: "Even when we are losing games, some fans emailed to me and say 'Jeff what's happening?'. I always kept confidence in Paul.
"From outside the club, you can't see anything but we're in the club day to day and can see how he's working very hard and is a professional with good leadership and smart tactics. The trust and confidence is always there."
Lambert - whose deal at Wolves is currently set to expire at the end of the season - has won 12 of his 26 games in charge since replacing Walter Zenga in November.