Abstract: From the perspective of value chain, this paper decomposes the regional innovation process into two interrelated sub-procedure, namely sci-tech research and achievements transformation, and constructs innovation efficiency evaluation method of two-stage relational DEA to calculate the efficiency of each stage. On this basis, the GMM method is used to test the difference between financial development and regional innovation efficiency by treating the degree of openness as an intermediate variable. The empirical results indicate that: there is significant correlation between the sci-tech research and achievements transformation, mutual restraint between the sci-tech research and achievements transformation has become the common factors restricting China’s innovation. We also find that the mechanisms of financial development and opening degree have the characteristics of sub-regional and multi-stage properties, and different regions and stages presenting different features. Furthermore, the variable of opening degree has a significant mediating effect whether it is from the national or sub-regional point of view. In other words, with the improvement of the level of opening up, financial development will significantly enhance the ability of regional innovation. Finally, this paper presents relevant implications according to the results.