Abstract: What's the effect of the investment opportunity set on stock liquidity What are the factors that affect the above effect The paper built a theoretical modeling and used the data of Hushen A-share stock market to prove:1) as the expansion of the investment opportunity set, broader investment field makes the firms' future business performance face higher uncertainty, this uncertainty leads to difficult converging for investors' grasp on stocks internal value, so the stocks circulation between investors will be hindered and the stocks liquidity will decline; 2) asset specificity avoids firms' invest on projects which they are lack of advantage and experience, limits the fluctuation of firms' future business performance, in this case, it's easier for investors' grasp of the stocks intrinsic value to converge, and so the adverse effect of the investment opportunity on liquidity can be weakened. The conclusions provide reasonable explanations to the findings of Gopalan et al. (2012), and find new evidence for the liquidity commonality (liquidity common factors).

Key words: Investment opportunity set, stock liquidity, non-market-maker system, asset specificity