From the year of 1973 when Mckinnon and Shaw aimed at developing countries to introduce financial deepening theory, which advocates that we should take advantage of market to mobilize and dispose financial resources to promote economic growth, many developing countries have launched financial deepening movements, and they actually have stimulated economic development. China is not exceptional. If we use the ratio of broad money(cash plus deposits in the commercial banking systems)to nominal general domestic production as a measure of financial deepening, financial reforms appear to have been successful in China. However, the state of economic run seems to be low efficient in China during the financial deepening process, which is mainly reflected in state-owned banks, stock market, national debt market .Thus, this paper takes China for example to analyze efficiency during its financial deepening process.