The paper analyzes shortcomings of the Efficient Market Hypothesis, i.e. it is unable to obtain a market efficiency index and distinguish the efficiency difference of the same kind market, bring on inconsistent conclusion by different testing. Basing on DEA, we develop a model of measuring market efficiency and non-parameters method testing market efficiency, which not only present apparent measurement about market efficiency, but also offer evidence for investment decision-making. According to the empirical test on Chinese security market, the market efficiency index distinctly indicates promotional movement direction and interior efficiency difference.