This paper uses 2005-2019 listed companies in China's capital market as a research sample and examines the impact of business cycle on corporate financialization and the differences of situational factors. The empirical analysis shows that when the economy is in the upward cycle, the degree of corporate financialization is improved, indicating that the allocation of financial assets by Chinese listed companies is more in line with the motivation of "investment substitution". Further research finds that firms with greater performance pressure faced by managers have stronger business cycles to promote corporate financialization, while companies with low proportion of managerial ownership and financing constraints, the promotion effect of the business cycle on corporate financialization is weakened. In addition, this paper also finds that in the economic upward period, the R&D investment of listed companies decreases, financial risks and the stock returns increase. This article validates the theory of "investment substitution" from the perspective of macro-economy, which not only enriches the research on the business cycle and corporate financialization, but also has certain practical significance for the government and regulatory authorities to guide enterprises to appropriately allocate financial assets and prevent financial risks.