Abstract: Facing higher inflation, China's pension exists great risk of depreciation. How to realize the value of pension has become the key problem to prevent shrinking. Pension fund entering stock market has always been a controversial issue. From aspects of national policy of expanding domestic demand, the aging of population, institutional investors, this article explores the possibility, and puts forward that the barriers of pension entering stock market is largely due to stock market disadvantages. Finally it puts forward some suggestions on the prevention of the pension market risk.