From the four aspects of international financial risk into four angles: exchange rate, interest rate, inflation rate and financial infrastructure, this paper constructs a model to discuss the relationship between financial risk and the location selection of China’s direct investment in ASEAN. The following conclusions are obtained. The changes of ASEAN exchange rate, interest rate, and inflation rate are negatively correlated with the changes of China’s direct investment in ASEAN. The increase of exchange rate, interest rate and inflation rate in ASEAN financial market will lead to the decrease of China’s direct investment. However, the relationship between financial infrastructure and China’s direct investment in ASEAN is uncertain. There is a positive correlation between them in the static panel model and a negative correlation between them in the dynamic panel model, which shows that no matter whether the financial infrastructure is perfect or not, China’s direct investment in ASEAN will be not diminished. Based on the current situation of China ASEAN macroeconomic development and the promotion of the internationalization of RMB,some proposals are put forward to and avoid the risk of international settlement.