The IPO under-pricing is a phenomenon that the IPO closing price is significantly higher than issue prrice in the first day. In the worldwide capital market, IPO under-pricing is a common problrm. There are different IPO under-pricing level in Different country's capital market. Many developed countries have formed a sound system. The IPO under-pricing in these country has tended to a normal level, generally no more than 20%. China's capital market established late and it's immature. The GEM of China set up in October of 2009. There are a total of 28 companies firstly listed in China's GEM market, the average IPO rate is 106.23%. The IPO-underpricing in the GEM is more serious. Obviously, such a high rate of IPO under-pricing is not good to the China's growth enterprise market's healthy and development. This paper uses the data of GEM from 2011 to 2017 to analyze the under-pricing issue of GEM. The results shown that IPO under-pricing is negatively associated with initial issue price(PRICE) and company scale(LSIZE), while has positive correlation with the first listed turnover rate(TURNOVER) and P/E ratio. We found the main reason of the high IPO under-pricing in china's GEM is investor behavior and information asmmetry. So we need improve GEM's information disclosure system as soon as possible. However due to the limited data source, we just choose 6 explanatory variables and the empirical analysis is also inadequate. So we need to do further exploration and research in the future.