This article analysizes the investment behavior between the institutional investors and the individual investors by the game theory of the incomplete information.In the static game,it analysizes the interest relationship of the institutional investors arbitrage and the individual investors purchase,indicating that institutional investors will help to develop the securities market.In the dynamic game,it analysizes the case when the institutional investors bid up the stock prices,the optimal choice of the individual investors and the optimal strategy of the institutional investors targeting the action of the individual investors.