The outbreak of the global financial crisis in 2008 and China's more strict foreign capital policy have led to the hither to unknown dilemma for foreign capitals. More and more foreign disinvestment occurred and it has brought a great risk to the development of China's economy. This essay establishes a cross market disinvest risk conduction model, analyses the conduction mechanism of the risk of foreign disinvestment between financial market and the real economy, and then explores the conduction effect of the risk of disinvestment. In the end, in order to ease or isolate the divestment cross-market risk conduction and to reduce the impact that disinvestment leads to the economy of the host country to the least, several immunization strategies are put forward.