The enterprise’s funds that excessively invest in the virtual economy leads to an imbalance between the development of real economy and virtual economy, which hinders the high quality development of China’s economy. This paper focuses on the impact of enterprises funds removing reality to virtual on the stock price performance in the capital market. Based on the data of A share listed companies from 2008 to 2018, it is estimated that the enterprise funds removing reality to virtual increases the risk of stock price crash, which is more severe in the enterprises with serious agency conflict, high degree of information asymmetry and strong liquidity. Furthermore, the capital arbitrage motive of the enterprise funds removing reality to virtual is also demonstrated, and if enterprise’s funds are moderately invested in the virtual economy, it will not bring the stock price crash. The results are significant for the government to improve the capital market system and guide the enterprises to invest in the virtual economy moderately and scientifically.