Based on the regular adjustment of CSI500 Index, this paper uses the fuzzy regression discontinuity design method to explore the impact of stock index adjustment on corporate external financing behavior and leverage ratio and its transmission mechanism, test the heterogeneity of macroeconomic uncertainty and corporate characteristic factors. The study finds that becoming a member of stock index increases corporate equity financing and debt financing, but the increase in debt financing is greater than equity financing, which cause the increase in corporate leverage ratio. Becoming a member of stock index mainly influences external financing behavior and corporate leverage ratio by improving internal governance and improving external financing environment. Becoming a member of stock index will significantly increase significantly corporate external financing and leverage ratio in high economic policy uncertainties, bull state, high growth companies, non-state-owned and less analyst following companies. This paper confirms that stock index adjustment has information transmission effects. It should improve corporate governance and information environment to ease corporate financing constraints, increase corporate external financing opportunities, and finally adjust corporate leverage ratio.