The financing efficiency of the listed companies, to some extent, reflects the resources allocation efficiency of capital market and is influenced by the factors such as macro-economic situation, financial market development level, firm capital structure and scale, financing cost and structure and so on. Data envelopment analysis (DEA) is used to analyze the equity financing efficiency of the listed companies on GEM, and the results show that in 44 samples, there are four companies which are effective, there are 9 companies which are pure technical effective but non-scale effective, there are 35 companies which are non-scale effective and non-pure technical effective, there are 37 companies which demonstrate incremental wages on scale, there are 3 companies which demonstrate decreasing wages on scale, the equity financing efficiency of information technology companies samples is higher than that of manufacturing companies samples. The overall equity financing efficiency of the listed companies on GEM is lower, therefore, the equity financing efficiency can be raised by adjusting equity centralization, by perfecting legal structure, by optimizing financing structure, by rationalizing indebted assets ratio, and by strengthening technical innovation.