Abstract: While selecting the data on SSE 50 index stocks from October 1, 2004 to March 1, 2005, uses two approaches to measure the illiquidity of the stock market: one i s illiquidity variable by the daily transaction data of Wind Informati on financial terminals, and the other one is from the Beijing CCER high frequenc y transaction data. Research shows that stock return is the increasing function of the illiquidity variable. The result from the second approach shows even more so. It was also discovered from the analysis that the risk premium from the liq uidity volatility does not exist in the stock market.