Based on the causal theory of the IPO first-day yield on the GEM board, this essay focuses on how VC/PE’s shareholding influences the IPO first-day yield on GEM, and makes the conjecture that VC/PE’s shareholding influences the IPO first-day yield periodically. The results show that, VC/PE’s shareholding results in higher IPO first-day yield on GEM, which means VC/PE’s shareholding of GEM contributes to creating IPO underpricing; in the early period after GEM was founded, VC/PE’s shareholding strongly pushes the IPO first-day yield up; and later this positive effect becomes insignificant and even turns to the opposite. To a certain extent, these conclusions validate that VC/PE’s shareholding lies behind the IPO underpricing puzzle on the GEM board.