This article is to analyse the economic efficiency of capital market, which plays a role of resource allocation in terms of financial claims such as stock and bond. It provides various contributions to the welfare theoretical aspects of modern capital market theory. The key feature that distinguishes the theory described here from traditional welfare theory is the presence of uncertainty. Securities has time dimensions and the state and outcome of the future are really uncertain. This problem resulting from this uncertainty can be solved by complete market, but it has a weak power to explain real stock market. Capital Market is faced with the uncertainity because it is a kind of incomplete market. Individuals and firms in capital market made their consumption-investment decision by their own criteria, i. e. the maximization of expected utility form intertemporal consumption and the maximization of the market value of firm. We noted that allocative decisions that had to be made in the economy could be naturally subdivided into two groups. One set of decisions concerned the allocation of first-period resources among consumption C_i, investment in risky firms I_i, and riskless investment M. The other decisions concern the distribution among individuals of income available in the second period Y_i(θ). Corresponing to this grouping, the theoretical analysis of efficiency has also been dichotomized. The optimality of the distribution of output in the second period is distributive efficiency$quot; and the optimality of the allocation of first-period resources is $quot;the efficiency of investment$quot;.  We have found in the distributive efficiency that the conditions for attainability is the same as the conditions for market optimality. The necessary and sufficient conditions for attainability or market optimality is that (1) all utility functions are such that -linear risk tolerance function where the coefficients μ_i and λare independent of Y_i, and (2) there are homegeneous expectations, i. e. f_i(θ)=f(θ) for every i, On the other hand, the efficiency of investment has disagreement about optimal investment level. The investment level for market rule will not generally lead to Pareto-optimal allocation of investment. This suboptimality is caused by (1)the difference of Diamond`s decomposable production function and mean-variance valuation model and (2) the selection of exclusive investment or competitive investment. In conclusion, this article has made an analysis of conditions and processes of Pareto-optimal allocation of resources in capital market and tried to connect with significant issues in modern finance.