Financial efficiency of investment bank reflect its performing the financial function in the economy transformation of China. Capital market has weak contributions in macro's deposit-investment transformation. Some problems existing on middle level constitutes of capital market, such as structural defect, functional twist, powerless competitive. And the running-efficiency of investment bank on micro level troubled outward effectiveness of capital market. The non-efficiency of China's investment bank is caused by system defects, so the chosen way is system innovation to raise the financial efficiency of investment bank and capital market.