Financial industry is the heart of a country's economy while the innovation of finance plays an important role in dynamic force of financial market. Only by utilizing innovation can service development and operation efficiency be improved. Creation of self core competence and market advantage can lay the foundation for financial service integration and international competition. Through the comparison and analysis of innovation between both American and Chinese financial industry, this paper indicates that the large disparity in incentive mechanism of financial innovation is the dominant factor which leads to the big difference and proposes some strategic suggestions.