Abstract: This paper performs the cause-and-effect analysis via the data of OECD national pension funds and capital market and finds 4 interaction relation sets of different levels by using the method of conditional heteroscedasticity. And it then establishes the cointegration and vector error correction model to analyze the mutual effect between pension investments and capital markets. The examination of the residual item via Lagrange multiplier test verifies the fact that the residual item has no self-correlation, which proves the stability of the model order. The results show that the relation between pension investment and capital market expansion and stability varies according to different capital accumulation, risk preferences, and management system. Finally, the essay, based on the international comparative analysis, clarifies the enlightenment of China pension development in several aspects.