Abstract: It’s important to industrial structure upgrading and economics growth in China for promoting the financial capital flowing to firm R&D and technology advancement. First, constructing theoretical mechnism of the boundary effect of financial development on firms’ two stage R&D investment, finds that the financial scale or financial efficiency that exceeds a certain boundary is not conducive to R&D decision or input. Second, using three stage DEA-Malmquist, quantile HECKIT and threshold panel, empirically finds that (1) double threshold exists in financial scale, lack of financial deepening or overexpansion is conducive to R&D investment. The extensive margin is more important for influence of financial development on firms’ R&D investment.(2) single threshold exists in financial efficiency, the improve of skill progress, pure skill efficiency, scale efficiency and total factor productivity is conducive to R&D investment. (3)The financial development boundary is higher for private firms and low-middle tech firms. Financial efficiency is an important way of overcoming the financial scale limit.