The key to establishing a multi-level capital market in our country lies in the Shenzhen Stock Exchange, and it is very important to correctly understand the multi-level system within the Shenzhen Stock Exchange. The realization of the Growth Enterprise Market (GEM) should adopt a three-step strategy: the first step is the Small and Medium Board, the second step is the Growth Board, and the third step is the GEM. The goal is to align with global standards, but the path and process of achieving this must have Chinese characteristics. Without understanding China's national conditions and characteristics, one cannot bring prosperity to China's capital market.