From the perspective of efficient market, the existence of anomalies in securities business indicates the lack of market efficiency in China. This paper puts forward a forming model of anomalies in securities market under rational human being hypothesis. It employs some models to analyze the formation mechanism of securities business of overreaction and under reaction with simulation method and theoretical deduction. Finally, it provides two types of policy suggestions to eliminate these anomalies, that the investors should change their original expectations through the "learning" and banish the source of ??policy market??.