This primary goal of this article is to study the relationship between financial statements and stock price. In this paper, the research objects are all the GEM (Growth Enterprise Market) listed companies from 2009 to 2011. PCA (principal component analysis) and simple Multiple Regression model is utilized to analyze the key financial statements selected. The results of the research indicate a significant linear correlation between financial statements and stock price, which shows that the GEM market can reflect the financial situation of listed companies strongly. What’s more, the results also show that the market would be directly affected by the annual financial reports, which means GEM is not semi strong-form efficient yet. Besides, the regression results of financial statements which reflect the ability of earning and growing are more notable than others, so they have more guiding significance.