The working efficiency of an internal capital market determines the play of the advantages of the enterprise group to a certain extent. The self-interested division managers may use their information superiority to disturbing the headquarters' allocation decisions by implementing opportunistic behavior. Hence, this opportunistic behavior is the key factor which has impact on the efficiency of the internal capital market. The existing literatures mainly focus on incentive mechanism pertaining to division managers while paying little attention to the impact of the headquarters' supervision on opportunistic behavior. This paper introduces the headquarters' supervision mechanism, considers the emotion sensitivity factor of division managers and establishes a behavior game model between the headquarters and the division managers. It is found that the supervision of the headquarters can reduce information rent and partially replace the function of the incentive. However, such supervision may have negative effect on division managers, which leads to slackness, low efficiency and the loss of capital production, namely the negative incentive effect. Therefore, replacement effect, supervision cost effect and negative incentive effect work together to determine the efficiency of internal capital market.