Abstract: From 1999 to 2009 using the unbalanced panel data of China industrial enterprises as the research sample, build Heckman selection model to investigate the mechanism of action of the credit market, stock market and the influence factors of enterprise innovation. Study conclusion shows that the credit market development have to improve enterprise innovation in probability, reduce the scale of enterprise innovation double-edged function; Stock market development innovation participation and the scale of the enterprise has positive role; The credit market and stock market innovation of state-owned enterprises to participate in the development of private enterprises and collective enterprises, promoting effect is greater than the size of its innovation is smaller than the effect of private enterprises and collective enterprises; Credit market, stock market innovation in high technology industry and promote innovation scale were greater than the general industrial, dependent on high financing industry innovation participation and size of not less than the general industrial and low financing dependent industries.

Key words: enterprise innovation, the stock market, the credit markets, heckman selection model