With the development of capital market and the deepening of financial innovation, the impacts of stock market on monetary policy go deeper, and stock market has gradually become an important channel for monetary policies to be conducted. However, the transmission efficiency of the monetary policy of stock market in China is low, which is attributed by the restriction of such factors as limited stock market scale and low degree of financial integration. We should build up some fundamental conditions of monetary policy transmission in stock market by means of enlarging the market scale, regulating and optimizing the market structure, dredging the affiliations between the money market and capital market, etc. At the same time, with consummating the operational system of monetary policy, the final target of monetary policy of central bank should show concern for the change of asset prices.