Efficient use of investment market funds is a key issue that has decisive importance in determining whether an investment funds market can run normally.By utilizing the validity theory of securities market and the random walk method and by treating the fund price index of market in Shenzhen as samples, this paper examines and analyzes our investment funds market and has come to the conclusion that our investment funds market is a non-effective market at the present stage of its development.Besides this paper advances a settlement countermeasure for the purpose of improving the working efficiency of our investment funds market.