The paper utilizes the model of liquidity adjusted value at risk (VaR) to examine the main stock market's VaR, their trends and the long term balanced relationship among different stock markets. The research results show that in every market liquidity risk accounts for a large proportion of the total risk, and the liquidity risk volatility in Chinese stock market is the largest each year. Co-integration analysis shows that there exists the long term balanced relationship among the sample indexes. American stock market has the most significant impact on other stock markets; Financial Times Index has significant impact on the security indexes of the markets in France, Australia and China. There is relationship among the stock markets in Australia, Hong Kong SAR of China and Japan. Japanese and Hong Kong markets have the one-way impact on the markets in Hong Kong and India respectively, while Chinese stock markets have no significant impact on other markets.