With regard to China, capital account is still under rigorous control and foreign capital will have mechanism to move in to get arbitrage profit under conditions that domestic interest rate is higher than that of foreign capital market. Before the southeastern Asian financial crisis, the problem of foreign arbitrage capital moving in and ist effects on domestic economics reform had been concerned by the government and economists. However, after the financial crisis, even though the Chinese government promised that RMB would not be depreciated, illegal capital outflows occurred. In the paper the problem in game theory is studied and a mathematical model is set up. Based on the results of the model, practicability of some actions to alleviate the problem is also analyzed.