Chapter 5 investigates the interplay between innovation and market efficiency through the case of Shenzhen’s transformation into a global innovation center. Using data from the Shenzhen Innovation Enterprise Database, it assesses the impact of four policy instruments—innovation vouchers, funding schemes, technology development grants, and fintech support—on enterprise performance. The findings demonstrate that these policies enhance firms’ innovation capacity, promote public knowledge accumulation, and foster cross-sector collaboration. Shenzhen’s trajectory, from basic manufacturing to advanced R\&D leadership, highlights how competitive markets, when aligned with targeted policy support, can accelerate innovation. The chapter presents Shenzhen as a compelling example of how market mechanisms and public policy can complement each other to drive innovation-led growth.