Financial efficiency directly influences the impact of financial development on economic growth. Since 1978, China' s financial industry has developed rapidly, the gross financial assets have increased greatly, and the Financial Interrelation Ratio (FIR) has risen remarkably as well. However, only the quantitative expansion in the financial system can not make the economy grow steadily, and actually the improvement of financial efficiency is the fundamental factor. In this paper, by establishing the error correction model of financial development and economic growth, we use the cointegration analysis to test China' s financial efficiency empirically. Through international comparisons, we find that China's financial efficiency is even lower than that of India and other south Asian countries.