Abstract: This article thinks efficient market has abundant contents, not merely confines to the efficiency market of the stock. According to level of study, efficient market can be divided into micro efficient market, regional efficiency market and macro efficient market. Micro efficient is the market of Pareto efficiency and the foundation of efficiency market system. But micro market has space failures and economy, society failures. As to micro market failures, regional efficiency market is shown as the integration of urban and rural areas market, and macro efficiency market is shown as national big market of realization of macroeconomic goal. Three efficient markets interact and promote each other, which forms a dynamic market operation system.