The opening up to the outside world has stepped into a high level deepening stage. Economic growth has stepped into a high quality development cycle. What kind of changes will bring to the R&D investment which is the core of the innovation power of enterprises is a question that is needed to be addressed urgently. Based on the background of the implementation of the "Shanghai-Shenzhen-Hong Kong Stock Connect" policy, the 2011-2020 data of A-share listed companies it is the research object. The Staggered DID model is used to analyze the influence mechanism that how capital market opening affects the R&D investment. And the mediating role of financing constraints under different economic cycles is also explored. That, the reason why Capital market opening makes R&D investment increased is that financing constraints has been eased, was found by the study. During the recessionary period, capital market opening significantly contributes to the increase in R&D investment by alleviating financing constraints. In contrast, its mediating effect is insignificant in boom periods. This shows that capital market opening has contributed to the countercyclical performance of R&D investment. The contribution of capital market opening to R&D investment is more significant among firms with poor information environment and poor governance is found in further studies. From the perspective that firms will increase their R&D investment, micro-level empirical evidences, the positive economic consequences of capital market opening, are provided by the study. The importance of capital market opening for promoting new technological changes in industries, advancing the real economy, transforming the economic development mode, and achieving high-quality development is confirmed.