In 2017, China government officially announced the agreement of deepening cooperation among Guangdong, Hong Kong and Macau to promote construction framework of greater bay area. This outlines the development plans of Guangdong-Honk Kong-Macau Greater Bay Area by taking exclusive advantages of Hong Kong and Macau to raise national economic development. Using annual data covering nine cities of Guangdong province and two special administrative regions of Hong Kong and Macau over the period from 1996 to 2016, the study employs panel data approach to investigate the impact of financial conglomeration and efficiency of capital allocation on economic growth. The empirical results of the study show that financial conglomeration has negative impact on economic growth. As for efficiency of capital allocation, efficiency of motivating saving has positive impact on economic growth, whereas efficiency of capital transformation has negative impact on economic growth.