Owing to the difference of the research, the present market liquidity theory pays less attention on the first liquidity span of the stock price, namely, the change of liquidity affects the price and value of the stock before or after the list. Therefore, the difference of liquidity of the asset before and after the list was analyzed, and the stock price and the stock market risk models for the liquidity were deduced. Our conclusions are as follows: (1)The marginal liquidity value of the stock is equal to zero; (2)The marginal liquidity value of the stock is positive related to the enterprise marginal investing yield;(3)Owing to the difference between the market structure and the market liquidity, the stock price is different;(4) The different characteristic also has effect on the stock price and (5) Due to the liquidity has the infectivity, when the act drawback is cumulated to some level, it is possible to form the risk of the stock market.