The purpose of this study is to analyze the behavior of local governments' financial intervention in China based on the new institutional economic theory. We found that financial sector is the second finance of central government and the ability of the central government's financial power, which structures the opportunity space of local governments' financial intervention. The central-local fiscal relation and the promotion systems of local officials make the behavior motivation of local governments' financial intervention. In the 80s, local governments have the right of personnel administration to directly intervene to local financial sectors. After 90s, with the strengthening fiscal and financial power of the central government, local governments indirectly intervened to local financial sectors through local government investment vehicles.